Кто читает:: Банковский институт

Статус:: Курс по выбору

Когда читается:: 2-й курс, 3 модуль

Преподаватель

Мищенко Вячеслав Владимирович

Full Syllabus

Abstract

This course aims to provide a set of tools that can be used by today’s risk manager to deal with unforeseen events and uncertainty, which in turn may lead to substantial losses for the business of the company and threat its viability. The course aims to provide a practical approach to the risk management function of the firm. It also gives students sufficient knowledge to take appropriate management decisions based on the results of thorough analysis of qualitative and quantitative factors of risk. The course will equip students with conceptual knowledge and analytical skills to effectively assess and manage risks faced by financial institutions. Students will develop expertise to construct risk management frameworks, apply risk models, and formulate risk-aware financial strategies.

Learning Objectives

Explain key concepts and principles of financial risk management.
Identify and classify major types of risks faced by financial institutions including market, credit, liquidity, and operational risks.
Analyze the drivers and dynamics of different financial risks.
Apply quantitative methods and models for measuring and assessing financial risks such as Value-at-Risk (VaR), stress testing, scenario analysis etc.
Evaluate risk-return tradeoffs and make risk-based decisions related to financial management.
Design risk management strategies involving risk avoidance, mitigation, transfer, and control techniques.
Discuss regulatory landscape and industry best practices related to financial risk management.

Expected Learning Outcomes

Define key terminologies associated with financial risk management
Recognize major types of risks faced by financial institutions and explain their characteristics
Conduct qualitative and quantitative assessment of credit, market, liquidity, operational and other financial risks
Apply various models and analytical techniques such as VaR, stress testing, sensitivity analysis, scenario modeling etc. for risk measurement
Analyze interlinkages between different types of risks
Evaluate efficacy of various risk mitigation strategies involving securitization, derivatives, insurance etc.
Examine appropriateness of different approaches for calculating regulatory capital, economic capital, and risk-adjusted performance
Discuss risk management governance including setting risk appetite, limit framework, and risk culture
Scrutinize latest regulatory guidelines from Basel Committee, national regulators, and link them to industry best practices
Demonstrate concepts learnt through case studies and risk analysis projects

Course Contents

Module one. Introduction to financial risk management
Module two. Integrated risk management
Module three. Credit risk
Module four. ALM and liquidity risk
Module five. Market risk
Module six. Operational risk

Assessment Elements

Test 1
Test 2
Test 3
Test 4
Test 5
Test 6
Final Exam

Interim Assessment

2023/2024 3rd module
0.61 * Final Exam + 0.065 * Test 1 + 0.065 * Test 2 + 0.065 * Test 3 + 0.065 * Test 4 + 0.065 * Test 5 + 0.065 * Test 6

Bibliography

Recommended Core Bibliography

Crouhy M., Galai D., and Mark R. (2014). The Essentials of Risk Management. Second Edition. McGraw-Hill.
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
Judea Pearl, & Dana Mackenzie. (2018). The Book of Why : The New Science of Cause and Effect. Basic Books.

Recommended Additional Bibliography

Pinto, C. A. (2015). Operational Risk Management. [N.p.]: Momentum Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1048971

Магистерская программа «Финансы»

Financial Risk Management