2023/2024
Financial Risk Management
Type:
Mago-Lego
Delivered by:
HSE Banking Institute
When:
3 module
Online hours:
20
Open to:
students of one campus
Instructors:
Мищенко Вячеслав Владимирович
Language:
English
ECTS credits:
6
Contact hours:
12
Course 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
Interim Assessment
- 2023/2024 3rd module0.61 * 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