Bachelor 2020/2021

Financial Risk Management

Type: Compulsory course (International Business and Management Studies)

Area of studies: Management

Delivered by: Department of Finance

Where: St.Petersburg School of Economics and Management

When: 4 year, 1 module

Mode of studies: offline

Instructors: Adel Dalal, Alexander V. Kosenko, Darko Vukovic

Language: English

ECTS credits: 4

Contact hours: 40

Course Syllabus

Abstract

The course consists of lectures (14 hours) and tutorials (28 hours). The tutorials involve student presentations (in small groups), problems solving, case analysis and the individual assignment (project). The course presents an advanced treatment of the theory and its application to financial institutions and international corporations. This course consists of seven units, which will enrich knowledge with an invaluable grounding in the subject and enable students to acquire a strong theoretical and practical understanding of the current and essential risk management practices.

Learning Objectives

• This course will provide students with a comprehensive overview of the main types of risk that have such a substantial impact on international firms and financial institutions.

Expected Learning Outcomes

• Know basic functions of financial risk management.
• Forecast the financial risks that financial institutions and corporations could face in the international market.
• Measure the risks that arise from financial markets - such as credit risk, market risk, liquidity risk and sovereign risk.
• Classify derivative instruments that could be used in managing the risks of financial institutions and international corporations.

Course Contents

• Introduction to Financial Risk Management
  The concept of financial markets. Sources of financial risk. Diversification. Risk Management process. Factors that impact financial rates and prices.
• Interest Rate Risk
  The repricing model. Rate-Sensitive Assets and Rate-Sensitive Liabilities. Spread effect. The term structure of interest rates. Unbiased Expectations Theory. Liquidity Premium Theory. Forecasting Interest Rates.
• Credit Default Risk
  Commercial and Industrial Loans. Real Estate Loans. Individual (Consumer) Loans. The Contractually Promised Return on a Loan. The Expected Return on a Loan.
• Sovereign Risk
  Debt Repudiation Versus Debt Rescheduling. Country Risk Evaluation. Variance of Export Revenue (VAREX). Using Market Data to Measure Risk: The Secondary Market for LDC and Emerging Market Debt.
• Off-Balance-Sheet Risk and Liquidity Risk
  Off-Balance-Sheet Activities and Fi Solvency. Returns and Risks of Off-Balance-Sheet Activities. Loan Commitments. Commercial Letters of Credit and Standby Letters of Credit.
• Managing Risk
  Credit Risk Management. Calculating the Return on a Loan. Comparison of Hedging Methods.

Assessment Elements

• Assignment test
• Home project
• Final examination

Interim Assessment

• Interim assessment (1 module)
  0.25 * Assignment test + 0.5 * Final examination + 0.25 * Home project

Bibliography

Recommended Core Bibliography

• Población García, F. J. (2017). Financial Risk Management : Identification, Measurement and Management. Cham: Palgrave Macmillan. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1292890

Recommended Additional Bibliography

• Tarantino, A., & Cernauskas, D. (2011). Essentials of Risk Management in Finance. Hoboken, N.J.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=352036