Bachelor
2023/2024
Research Seminar "Risk-Management"
Category 'Best Course for New Knowledge and Skills'
Type:
Elective course (Data Science and Business Analytics)
Area of studies:
Applied Mathematics and Information Science
Delivered by:
Joint Department with Sberbank ‘Financial Technologies and Data Analysis’
Where:
Faculty of Computer Science
When:
4 year, 1-3 module
Mode of studies:
offline
Open to:
students of one campus
Instructors:
Степанченко Дмитрий Сергеевич
Language:
English
ECTS credits:
4
Contact hours:
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