Бакалавриат
2023/2024
Научно-исследовательский семинар "Риск-менеджмент в банкинге"
Статус:
Курс по выбору (Прикладной анализ данных)
Направление:
01.03.02. Прикладная математика и информатика
Где читается:
Факультет компьютерных наук
Когда читается:
3-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
Main goal of this course is to provide an overview of the framework and practical tools of risk management in banking. During the course we will cover the most material types of risks relevant to commercial bank, how to estimate this risks and how to embed this estimates in core banking business activities (new business, pricing, product structuring and etc.) Educational process will consist of analyzing ppt presentations on each topic, illustrative examples in excel, Russian/European regulatory guidelines and other open information (IFRS reporting, regulatory reports, market researches and reports). Students will conduct qualitative and quantitative researches in order to extent general concepts which would be presented on lections.
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