Master
2024/2025
Analysis and Risk Management
Type:
Elective course (Financial Analyst)
Area of studies:
Finance and Credit
Delivered by:
HSE Banking Institute
Where:
HSE Banking Institute
When:
2 year, 1 module
Mode of studies:
offline
Open to:
students of one campus
Master’s programme:
Financial Analyst
Language:
English
ECTS credits:
3
Course Syllabus
Abstract
Give students sufficient knowledge and knowhow for them to take appropriate management decisions based on the results of thorough analysis of qualitative and quantitative factors of risk. Students understand the principles and terminology related to risk management, including contingency elements and risk factors, risk mapping and standard mitigation factors (e.g. insurance, hedging, limits, diversification, control).
Learning Objectives
- The primary objective of this course is to provide students with comprehensive knowledge and practical skills in financial risk analysis and management. Specifically, the course aims to: • Develop a thorough understanding of risk management principles, terminology, and best practices in the financial industry. • Enhance students' ability to identify, measure, analyze, and manage various types of financial and non-financial risks faced by financial institutions. • Equip students with advanced analytical tools and quantitative methodologies used in modern risk management practices. • Foster critical thinking and decision-making skills in risk management contexts, enabling students to make informed risk-based decisions in complex financial environments. • Provide practical insights into the implementation of enterprise-wide risk management systems and regulatory compliance in financial institutions.
Expected Learning Outcomes
- • Students are capable to define the principles of risk management for financial sector’s companies, which includes the most modern tools for the realization of integrated risk management system at the whole company level (ERM). • Students are familiar with up-to-date tools for risk-factored decision taking, such as EVA and RAROC, as well as assessment methods of company’s financial strength in stress situations (stress testing).
- • Students can calculate and give appropriate interpretation of Value-at-Risk on individual instruments as well as on a whole portfolio. • Students understand risk management’s best practice in all its key areas, including financial risk management and business risk management.
- Students are familiar with up-to-date regulatory approaches to banking risk, including Basel Committee recommendations on banking supervision and capital requirements, as well as present normative requirements from Bank of Russia.
- Students understand the basic quantitative methods used for the appraisal of main financial risks (credit risk, market risk, liquidity and interest rate risks) as well as for business risks (Operational, regulatory, legal, strategic, and reputational risks).
- Students understаnd the principles and terminology related to risk management, including contingency elements and risk factors, risk mapping and standard mitigation factors (e.g. insurance, hedging, limits, diversification, control).
- Understand and apply risk management principles and terminology, including contingency elements, risk factors, risk mapping, and standard mitigation factors (e.g., insurance, hedging, limits, diversification, control).
- Apply basic quantitative methods for the appraisal of main financial risks (credit risk, market risk, liquidity risk, interest rate risk) and business risks (operational, regulatory, legal, strategic, and reputational risks).
- Calculate and interpret Value-at-Risk (VaR) for individual instruments and portfolios
- Comprehend and apply best practices in financial and business risk management
- Define principles of risk management for financial sector companies, including modern tools for implementing integrated risk management systems at the enterprise level (ERM)
- Utilize up-to-date tools for risk-factored decision-making, such as Economic Value Added (EVA) and Risk-Adjusted Return on Capital (RAROC).
- Apply stress testing methodologies to assess a company's financial strength under various scenarios
- Understand current regulatory approaches to banking risk, including Basel Committee recommendations on banking supervision and capital requirements, as well as Bank of Russia normative requirements
- Analyze and interpret the risk-return trade-off in portfolio management
- Evaluate and apply appropriate derivatives strategies for risk management purposes
Course Contents
- Introduction to risk management
- Market Risk Management
- Credit Risk Management
- Liquidity and Interest Rate Risk Management
- Operational Risk Management
- Portfolio Risk and Return
- Regulatory Framework and Economic Capital
Assessment Elements
- In-Class Quizzes• Conducted regularly throughout the course with specific dates provided in advance. • All quizzes must be submitted within the allotted time during class sessions. • Quizzes must be completed individually.
- End-of-Term Exam
Bibliography
Recommended Core Bibliography
- 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
Recommended Additional Bibliography
- Alexander J. McNeil, Rüdiger Frey, & Paul Embrechts. (2015). Quantitative Risk Management: Concepts, Techniques and Tools Revised edition. Princeton University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.pup.pbooks.10496
- George Michael Constantinides. (2015). Financial Derivatives: Futures, Forwards, Swaps, Options, Corporate Securities, And Credit Default Swaps. World Scientific.
- Hull, J. (2012). Options, Futures and Other Derivatives: Global Edition : QMUL (Vol. 8th ed., Global ed). Harlow: Pearson Education. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1417930