Бакалавриат
2023/2024
Научно-исследовательский семинар "Риск-менеджмент"
Лучший по критерию «Новизна полученных знаний»
Статус:
Курс по выбору (Прикладной анализ данных)
Направление:
01.03.02. Прикладная математика и информатика
Где читается:
Факультет компьютерных наук
Когда читается:
4-й курс, 1-3 модуль
Формат изучения:
без онлайн-курса
Охват аудитории:
для своего кампуса
Преподаватели:
Степанченко Дмитрий Сергеевич
Язык:
английский
Кредиты:
4
Контактные часы:
48
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
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