Corporate Risk Management

2021/2022

Учебный год

ENG

Обучение ведется на английском языке

3

Кредиты

Кто читает:

Школа финансов

Статус:

Курс по выбору

Когда читается:

1-й курс, 4 модуль

Преподаватели

Дранев Юрий Яковлевич

Хромова (Фокина) Элла Павловна

Course Syllabus

Abstract

The course is designed for master students and represents an upper level course. This course discusses risk management from the perspective of non-financial corporations. The course examines various types of risks (market risks, credit risks and operational risks) and risk-management procedures in the context of the general framework of enterprise-wide risk management (ERM). The emphasis of the course is on theoretical approach of creating value with implementation of ERM rather than on the technical details of statistical measurement and pricing of derivatives. The course considers issues of risk measurement, risk aggregation, performance evaluation, capital allocation and strategic decision making. The course does not require extensive knowledge of mathematics and statistics.

Learning Objectives

• Know main features of firm-wide risk management
• Know key risk-management procedures applicable to market, operational and credit risks
• Know how and when to use risk management procedures

Expected Learning Outcomes

• Be able to classify risks
• Be able to Describe the process of risk measurement, risk aggregation, performance evaluation, capital allocation and strategic decision making
• Be able to Evaluate risk exposure

Course Contents

• Topic 1.The Role of Risk Management.
• Topic 2.Measuring Market Risks.
• Topic 3. Managing Market Risks.
• Topic 4. Measuring and Managing Credit Risk.
• Topic 5. Operational Risk Measurement.
• Topic 6. Firm‐wide Risk Management Framework.

Assessment Elements

• Case studies (team work)
  Уведомить студентов о технических требованиях к дистанционному формату и особенностях проведения экзамена.
• Final exam
  The final exam on Corporate risk management will be on Zoom platform. The link is below:https://zoom.us/j/2381697354?pwd=QWhJTWoyUXZaVGNRa24vUGpVWEFzZz09. The conditions of the exam are the same as I explained before (4 questions about projects, cameras on, no materials allowed, send me the photo of your written work after the exam).

Interim Assessment

• 2021/2022 4th module
  0.7 * Case studies (team work) + 0.3 * Final exam

Bibliography

Recommended Core Bibliography

• Enterprise risk management : from incentives to controls, Lam, J., 2014
• Options, futures, and other derivatives, Hull, J. C., 2009