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Regular version of the site
Master 2021/2022

Analysis and Risk Management

Type: Elective course (Financial Analyst)
Area of studies: Finance and Credit
Delivered by: HSE Banking Institute
When: 2 year, 1 module
Mode of studies: offline
Open to: students of one campus
Instructors: Victor A Lapshin
Master’s programme: Financial Analyst
Language: English
ECTS credits: 3

Course Syllabus

Abstract

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). 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 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 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 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.
Learning Objectives

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

Expected Learning Outcomes

  • 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).
  • 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 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 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 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.
Course Contents

Course Contents

  • Introduction to risk management;
  • Risk governance and enterprise-wide risk management (ERM);
  • The risk management process;
    • Risk identification and classification; • Risk measurement and models; • Value-at-Risk concepts; • Mathematical models for market risk estimation – with practice; • Basics of credit and liquidity risk measurement; • Stress testing; • Measuring nonfinancial risk – operational and other; • Risk management and mitigation
  • Using derivatives for risk management purposes.
Assessment Elements

Assessment Elements

  • non-blocking In-class quizzes
  • non-blocking exam
Interim Assessment

Interim Assessment

  • Interim assessment (1 module)
    0,3 In-class quizzes + 0,7 exam
Bibliography

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
  • Robert E. Whaley. (2006). Derivatives : Markets, Valuation, and Risk Management. Wiley.

Recommended Additional Bibliography

  • Bernd Engelmann, & Ha Pham. (2020). Measuring the Performance of Bank Loans under Basel II/III and IFRS 9/CECL. Risks, 8(93), 93. https://doi.org/10.3390/risks8030093
  • Peter Christoffersen. (2012). Elements of Financial Risk Management: Vol. 2nd ed. Academic Press.