Analysis and Risk Management

2021/2022

Учебный год

ENG

Обучение ведется на английском языке

3

Кредиты

Кто читает:

Банковский институт

Статус:

Курс по выбору

Когда читается:

2-й курс, 1 модуль

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

• 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 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 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 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 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).

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

• In-class quizzes
• exam

Interim Assessment

• 2021/2022 1st module
  0,3 In-class quizzes + 0,7 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
• 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.