Financial Risk Management

2024/2025

Academic Year

ENG

Instruction in English

3

ECTS credits

Delivered at:

Department of Finance

Course type:

Elective course

When:

1 year, 4 module

Course Syllabus

Abstract

This course will cover the topic of risk. Though relevant theory will be introduced, the focus will be on the practitioner perspective and practical applications in a broad range of financial situations such as corporate decision making, investing, trading, and portfolio management.

Learning Objectives

• This course will cover the topic of risk. Though relevant theory will be introduced, the focus will be on the practitioner perspective and practical applications in a broad range of financial situations such as corporate decision making, investing, trading, and portfolio management. For example, we will try to define what risk is, how it can be estimated and why it is often misestimated, what model risk is, the role of risk in markets and other finance situations, how it can be managed, etc. State of the art concepts and methodologies will be integrated throughout the course as necessary.

Expected Learning Outcomes

• • Define what risk is
• • Learn about key risk metrics and their pros and cons
• • Understand how risk can be measured
• • Discuss barriers to proper risk measurement that lead to model risk
• • Learn about the nature of markets and how it impact risk management
• • Learn about behavioral biases that lead to misevaluation of risk
• • Evaluate risk in various common corporate decisions
• • Learn about risk embedded in financial statements
• • Understand the role of investing and risk in it
• • Understand the role of portfolio and risk in it
• • Learn about the role of trading and risk in it
• • Understand various techniques to manage risk in various financial situations
• • Apply risk concepts and techniques in class projects and present their results
• • Apply and improve their public speaking skills

Course Contents

• Definition of risk
• Sources of risk
• Problems of risk estimation
• Risk in corporate decision making
• Risk in financial statement
• Risk in valuation
• Risk in human psychology
• Risk in investing
• Risk in markets
• Risk in trading

Assessment Elements

• Project #1
• Final Project #2
• Class Participation
• Presentation of projects

Interim Assessment

• 2024/2025 4th module
  0.2 * Class Participation + 0.4 * Final Project #2 + 0.2 * Presentation of projects + 0.2 * Project #1

Bibliography

Recommended Core Bibliography

• Financial institutions management: a risk management approach, Saunders, A., 2018
• Финансовый менеджмент : учебник для вузов, Берзон, Н. И., 2014
• Форвардные, фьючерсные и опционные рынки, Буренин, А. Н., 2015
• Экономическая теория денег, банковского дела и финансовых рынков : [учебник], Мишкин Ф., Островская О.К., 2013

Recommended Additional Bibliography

• Beyond value at risk : the new science of risk management, Dowd, K., 1998
• Credit risk measurement : new approaches to value at risk and other paradigms, Saunders, A., 1999
• Credit risk measurement in and out of the financial crisis : new approaches to value at risk and other paradigms, Saunders, A., 2010
• Financial risk manager handbook, Jorion, P., 2007
• Risk management and derivatives, Stulz, R. M., 2003
• Risk management and financial institutions, Hull, J.C., 2015
• Theory of financial risk and derivative pricing : from statistical physics to risk management, Bouchaud, J.- P., 2003
• Value at risk : the new benchmark for managing financial risk, Jorion, P., 2007

Authors

• SOLOVEVA EKATERINA EVGENEVNA