Delivered at:: HSE Banking Institute

Course type:: Elective course

When:: 2 year, 1 module

Instructor

Ilyin, Alexey

Full 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
Risk governance and enterprise-wide risk management (ERM);
The risk management process;
Using derivatives for risk management purposes

Assessment Elements

mid term exam
multiple choice questions, excel models and calculations
End-of-term exam
multiple choice questions, excel models construction and free response problem(s). the final exam will be based on MCQ/Excel modelling in order to cover all themes and outcomes mentioned above.

Interim Assessment

2023/2024 1st module
0.7 * End-of-term exam + 0.3 * mid 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

Authors

ODINTSOVA ULYANA ALEKSANDROVNA
ILIN ALEKSEY BORISOVICH
ELIZAROVA IRINA NIKOLAEVNA

Master's Program 'Financial Analyst'

CONTACTS

Analysis and Risk Management