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Regular version of the site

Financial Risk Management

2019/2020
Academic Year
ENG
Instruction in English
6
ECTS credits
Course type:
Elective course
When:
4 year, 2 module

Instructors

Course Syllabus

Abstract

The course consists of lectures (14 hours) and tutorials (28 hours). The tutorials involve student presentations (in small groups), problems solving, case analysis and the individual assignment (project). The course presents an advanced treatment of the theory and its application to financial institutions and international corporations. This course consists of seven units, which will enrich knowledge with an invaluable grounding in the subject and enable students to acquire a strong theoretical and practical understanding of the current and essential risk management practices.
Learning Objectives

Learning Objectives

  • This course will provide students with a comprehensive overview of the main types of risk that have such a substantial impact on international firms and financial institutions.
Expected Learning Outcomes

Expected Learning Outcomes

  • Know basic functions of financial risk management.
  • Forecast the financial risks that financial institutions and corporations could face in the international market.
  • Measure the risks that arise from financial markets - such as credit risk, market risk, liquidity risk and sovereign risk.
  • Classify derivative instruments that could be used in managing the risks of financial institutions and international corporations.
Course Contents

Course Contents

  • Introduction to Financial Risk Management
    Sources of financial risk. Diversification. Risk Management Process. Factors that Impact Financial Rates and Prices. Theories of Interest Rate Determination. Financial Risk Management: A Selective History.
  • Interest Rate Risk
    The repricing model. Rate-Sensitive Assets and Rate-Sensitive Liabilities. Spread effect. The term structure of interest rates. Unbiased Expectations Theory. Liquidity Premium Theory. Forecasting Interest Rates.
  • Credit Default Risk
    Commercial and Industrial Loans. Real Estate Loans. Individual (Consumer) Loans. The Contractually Promised Return on a Loan. The Expected Return on a Loan.
  • Foreign Exchange Risk
    The concept of foreign currency and foreign exchange. markets. The importance and the actors in the foreign exchange market. Proper cross rates currencies. Imroper cross rates currencies.
  • Sovereign Risk
    Debt Repudiation Versus Debt Rescheduling. Country Risk Evaluation. Variance of Export Revenue (VAREX). Using Market Data to Measure Risk: The Secondary Market for LDC and Emerging Market Debt.
  • Off-Balance-Sheet Risk and Liquidity Risk
    Off-Balance-Sheet Activities and Fi Solvency. Returns and Risks of Off-Balance-Sheet Activities. Loan Commitments. Commercial Letters of Credit and Standby Letters of Credit.
  • Managing Risk
    Credit Risk Management. Calculating the Return on a Loan. Comparison of Hedging Methods.
Assessment Elements

Assessment Elements

  • non-blocking Assignment test
  • non-blocking In-class activity
  • non-blocking Home project
  • non-blocking Final examination
  • non-blocking Asignment test
Interim Assessment

Interim Assessment

  • Interim assessment (2 module)
    0.25 * Assignment test + 0.5 * Final examination + 0.2 * Home project + 0.05 * In-class activity
Bibliography

Bibliography

Recommended Core Bibliography

  • Población García, F. J. (2017). Financial Risk Management : Identification, Measurement and Management. Cham: Palgrave Macmillan. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1292890

Recommended Additional Bibliography

  • Tarantino, A., & Cernauskas, D. (2011). Essentials of Risk Management in Finance. Hoboken, N.J.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=352036