Research Seminar "Risk-Management"

2023/2024

Учебный год

ENG

Обучение ведется на английском языке

4

Кредиты

Кто читает:

Базовая кафедра ПАО Сбербанк «Финансовые технологии и анализ данных»

Статус:

Курс по выбору

Когда читается:

4-й курс, 1-3 модуль

Преподаватель

Степанченко Дмитрий Сергеевич

Course Syllabus

Abstract

The course: “Risk Management” covers core banking activities (Loans, Deposits, Settlements, Trading, Hedging, etc), and associated risk management tools: Credit (EL, UL, vintages, DSCR), Interest rate (Vasicek, HW, NII, EVE), Market (VAR, ES, sensitivities), Liquidity (LCR, NSFR, Survival horizon), foundations of valuation (MPT, Bonds, Options, IRS, various futures etc.) and many others.

Learning Objectives

• The course will give the student a basic understanding of banking products and operations
• The course will give the student a basic understanding of practical tools used to manage risks on the abovementioned products and operations

Expected Learning Outcomes

• Understand the main components of the Balance sheet and the PL of a commercial bank
• Understand the main components of banking products and operations (granting loans, attracting deposits, trading of financial instruments, hedging banking and trading book, etc.)
• Understand basic quantitative and qualitative instruments used in the management of Credit, Market, Operational, Liquidity, Interest rate, FX and ESG risks

Course Contents

• Foundations of risk management
• Credit risks
• Market risk of trading book
• Liquidity risk
• Interest rate risk of banking book
• Currency risk
• Banking failures
• Operational risk
• ESG risks
• Business planning and stress testing

Assessment Elements

• Tests
• Exam
• Research

Interim Assessment

• 2023/2024 3rd module
  Final = 0.2*Tests + 0.6*Exam + 0.2*Research

Bibliography

Recommended Core Bibliography

• Financial Risk Management, Eales, B. A., 1995
• Основы риск-менеджмента : учебное пособие, Кулик, В. В., 2016

Recommended Additional Bibliography

• Advanced Strategies in Financial Risk Management, , 1993
• Elements of financial risk management, Christoffersen, P. F., 2003

Authors

• Стоякина Елена Игоревна