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Regular version of the site
2022/2023

Risk Assessment Models

Type: Optional course (faculty)
Delivered by: Department of Finance
When: 1 module
Open to: students of one campus
Language: English
ECTS credits: 3
Contact hours: 28

Course Syllabus

Abstract

This course is an introduction to the quantitative risk assessment and modeling. It starts with the general concepts of risk analysis and shows how one can think of risk, define its structure, and measure it. Then it turns to the modeling process: discuss the role of the data and assumptions and how they should be handled, reviews key components of risk model and methodological principles of their construction, and finally explores some validation techniques that help to identify if the model performs the way it is expected to perform. Finally, the course provides practical experience in applying learned concepts and methods for modeling market and credit risks. This course can be useful for those who seek their career in the financial industry, and in financial risk management, in particular.
Learning Objectives

Learning Objectives

  • To learn general concepts of risk analysis and modeling.
  • To practice applying those concepts and methods to the financial risk in a close-to-real-life setting.
  • To practice applying those concepts and methods to the financial risk in close-to-real-life setting.
Expected Learning Outcomes

Expected Learning Outcomes

  • Analyze risks and identify their components for assessment
  • Assess the quality and limitations of risk models in a different context
  • Design, estimate, apply and validate several practical risk models
  • Formulate basic concepts and principles of risk assessment
  • Make conservative assumption and evaluate them from the perspective of practically reliable risk assessment
  • Select and process data for the quantitative risk assessment
Course Contents

Course Contents

  • Basics of risk analysis and modeling
  • Data selection and quality assessment
  • Risk model design, assessment, and validation
  • Modeling and assessing portfolio market risk
  • Modeling and assessing portfolio credit risk
Assessment Elements

Assessment Elements

  • non-blocking Assignment test
  • non-blocking In-class activity
  • non-blocking Home project
  • non-blocking Final examination
  • non-blocking Asignment test
Interim Assessment

Interim Assessment

  • 2022/2023 1st module
    0.4 * Final examination + 0.15 * Home project + 0.2 * Asignment test + 0.1 * In-class activity + 0.15 * Assignment test
Bibliography

Bibliography

Recommended Core Bibliography

  • Alexander J. McNeil, Rüdiger Frey, & Paul Embrechts. (2015). Quantitative Risk Management: Concepts, Techniques and Tools Revised edition. Princeton University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.pup.pbooks.10496

Recommended Additional Bibliography

  • Gunter Löeffler, & Peter N. Posch. (2007). Credit Risk Modeling Using Excel and VBA. Wiley.
  • Jon Danielsson. (2011). Financial Risk Forecasting : The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab. Wiley.