Risk Management

2022/2023

Academic Year

ENG

Instruction in English

3

ECTS credits

Delivered at:

Department of Finance

Course type:

Compulsory course

When:

3 year, 4 module

Instructors

Wittmann, Egor

Rincon, Carlos J.

Romanyuk, Kirill

Course Syllabus

Abstract

Risk Management is a course about quantification of uncertainty in which a company functions and tools to navigate towards the most preferable outcome. The course contains lectures (14 hours) and seminars (26 hours). There are a lot of aspects of risk management. Even though fundamental principles of risk management are given in the course that would guide how to deal with any risk management problem, the main focus is on finance.

Learning Objectives

• Understanding of the main concepts and tools of risk management.

Expected Learning Outcomes

• Students understand fundamentals of risk management.
• Students know how changes in interest rate affect fixed-income securities.
• Students are able to construct option strategies in order to counter expected risk.
• Students can apply exchange rates and estimate how currency exchange rate changes can affect national economies.
• Students are familiar with variety of credit risk evaluation methods.
• Students understand institutional challenges with credit risk.

Course Contents

• Introduction and Modern Portfolio Theory
• Interest Rate Risk
• Derivatives
• Foreign Exchange Risk
• Credit Risk
• Systemic Risk

Assessment Elements

• Test 1
• Test 2
• Test 3
• Test 4
• Test 5

Interim Assessment

• 2022/2023 4th module
  0.2 * Test 2 + 0.2 * Test 3 + 0.2 * Test 4 + 0.2 * Test 5 + 0.2 * Test 1

Bibliography

Recommended Core Bibliography

• Financial institutions management: a risk management approach, Saunders, A., 2018
• Financial risk manager handbook, Jorion, P., 2007

Recommended Additional Bibliography

• Credit scoring and its applications, Thomas, L., 2017

Authors

• ROMANYUK KIRILL ANDREEVICH
• Соловьева Екатерина Евгеньевна