Кто читает:: Департамент экономики

Статус:: Курс по выбору

Когда читается:: 4-й курс, 1 модуль

Преподаватели

Парамей Мария Яношевна

Ринкон Эрнандес Карлос Хоакин

Full Syllabus

Abstract

This course is an introduction to the quantitative risk assessment and modeling. It starts with the general concepts of risk analysis and shows how one can think of risk, define its structure, and measure it. Then it turns to the modeling process: discuss the role of the data and assumptions and how they should be handled, reviews key components of risk model and methodological principles of their construction, and finally explores some validation techniques that help to identify if the model performs the way it is expected to perform. Finally, the course provides practical experience in applying learned concepts and methods for modeling market and credit risks. This course can be useful for those who seek their career in the financial industry, and in financial risk management, in particular.

Learning Objectives

To learn general concepts of risk analysis and modeling.
To practice applying those concepts and methods to the financial risk in a close-to-real-life setting.
To practice applying those concepts and methods to the financial risk in close-to-real-life setting.

Expected Learning Outcomes

Analyze risks and identify their components for assessment
Assess the quality and limitations of risk models in a different context
Design, estimate, apply and validate several practical risk models
Formulate basic concepts and principles of risk assessment
Make conservative assumption and evaluate them from the perspective of practically reliable risk assessment
Select and process data for the quantitative risk assessment

Course Contents

Basics of risk analysis and modeling
Data selection and quality assessment
Risk model design, assessment, and validation
Modeling and assessing portfolio market risk
Modeling and assessing portfolio credit risk

Assessment Elements

Individual homework on risk metrics and risk data
1 week,1 attempt, online submission, no retake.
Group assignment on modeling and measuring market risk
Common deadline – 10 days before Exams, up to 2 attempts for each assignment, online submission.
Group assignment on modeling and measuring credit risk
Common deadline – 10 days before Exams, up to 2 attempts for each assignment, online submission.
Exam
All students whose unrounded weighted average grade on interim control is less than 4 must take an exam. Other students will be offered to accept this average interim control grade as a final grade. In this case, a student must decide whether to take an exam or not. If a student does not take an exam, the weight of the exam proportionally distributes over other weights and the final grade derives solely from interim control grades. Students who take an exam do not have an option to switch back to interim grade and their final grades must be derived via a basic formula that includes exam results.

Interim Assessment

2021/2022 1st module
0.2 * Exam + 0.3 * Group assignment on modeling and measuring market risk + 0.3 * Group assignment on modeling and measuring credit risk + 0.2 * Individual homework on risk metrics and risk data

Bibliography

Recommended Core 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

Recommended Additional Bibliography

Gunter Löeffler, & Peter N. Posch. (2007). Credit Risk Modeling Using Excel and VBA. Wiley.
Jon Danielsson. (2011). Financial Risk Forecasting : The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab. Wiley.

Бакалаврская программа «Экономика»

Контакты

Risk Assessment Models