Магистратура 2022/2023

Анализ и управление рисками

Статус: Курс по выбору (Финансовый аналитик)

Направление: 38.04.08. Финансы и кредит

Кто читает: Банковский институт

Где читается: Банковский институт

Когда читается: 2-й курс, 1 модуль

Формат изучения: без онлайн-курса

Охват аудитории: для своего кампуса

Преподаватели: Ильин Алексей Борисович

Прогр. обучения: Финансовый аналитик

Язык: английский

Кредиты: 3

Контактные часы: 30

Course Syllabus

Abstract

Give students sufficient knowledge and knowhow for them to take appropriate management decisions based on the results of thorough analysis of qualitative and quantitative factors of risk. • Students understand the principles and terminology related to risk management, including contingency elements and risk factors, risk mapping and standard mitigation factors (e.g. insurance, hedging, limits, diversification, control).

Learning Objectives

• Give students sufficient knowledge and knowhow for them to take appropriate management decisions based on the results of thorough analysis of qualitative and quantitative factors of risk

Expected Learning Outcomes

• • Students are capable to define the principles of risk management for financial sector’s companies, which includes the most modern tools for the realization of integrated risk management system at the whole company level (ERM). • Students are familiar with up-to-date tools for risk-factored decision taking, such as EVA and RAROC, as well as assessment methods of company’s financial strength in stress situations (stress testing).
• • Students can calculate and give appropriate interpretation of Value-at-Risk on individual instruments as well as on a whole portfolio. • Students understand risk management’s best practice in all its key areas, including financial risk management and business risk management.
• Students are familiar with up-to-date regulatory approaches to banking risk, including Basel Committee recommendations on banking supervision and capital requirements, as well as present normative requirements from Bank of Russia.
• Students understand the basic quantitative methods used for the appraisal of main financial risks (credit risk, market risk, liquidity and interest rate risks) as well as for business risks (Operational, regulatory, legal, strategic, and reputational risks).
• Students understаnd the principles and terminology related to risk management, including contingency elements and risk factors, risk mapping and standard mitigation factors (e.g. insurance, hedging, limits, diversification, control).

Course Contents

• Introduction to risk management
• Risk governance and enterprise-wide risk management (ERM);
• The risk management process;
• Using derivatives for risk management purposes

Assessment Elements

• mid term exam
• Final exam
  multiple choice questions, excel models construction and free response problem(s)

Interim Assessment

• 2022/2023 1st module
  0.3 * mid term exam + 0.7 * Final exam

Bibliography

Recommended Core Bibliography

• Hull, J. (2018). Risk Management and Financial Institutions (Vol. Fifth edition). Hoboken, NewJersey: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1733295

Recommended Additional Bibliography

• George Michael Constantinides. (2015). Financial Derivatives: Futures, Forwards, Swaps, Options, Corporate Securities, And Credit Default Swaps. World Scientific.
• Hull, J. (2012). Options, Futures and Other Derivatives: Global Edition : QMUL (Vol. 8th ed., Global ed). Harlow: Pearson Education. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1417930