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Financial Risk Management

2019/2020
Учебный год
ENG
Обучение ведется на английском языке
4
Кредиты
Статус:
Курс по выбору
Когда читается:
1-й курс, 3, 4 модуль

Преподаватель

Программа дисциплины

Аннотация

The course consists of lectures (28 hours) and tutorials (28 hours). The tutorials involve student presentations (in small groups), problems solving, case analysis and the individual assignment (project).
Цель освоения дисциплины

Цель освоения дисциплины

  • The course is aimed at the understanding of main functions of financial risk management and its role in the system of a corporate management. It also provides students with tools and methods of financial risks assessment and mitigation.
Результаты освоения дисциплины

Результаты освоения дисциплины

  • Students understand the principles of financial risk management
  • Students know basic functions of financial risk management
  • Students are able to calculate cost of credit risk
  • Students are able to calculate cost of currency risk
  • Students know tools of financial engineering and risk hedging
  • Students understand principles of non-profit organizations financial risk management
Содержание учебной дисциплины

Содержание учебной дисциплины

  • Fundamentals of financial risk management
    This is introductory part where students learn fundaments of financial risk and how to manage them: Introduction to financial risk management; The Conflict of Risk and Reward; Typology of risk exposures
  • Risk and returns on financial markets
    In this part, we derive predictions for expected return as a function of risk. We begin with an examination of various conventions for measuring and reporting rates of return. Students compute various measures of return on multi-year investments. We use data on the past performance of stocks and bonds or scenario analysis to characterize the risk and return features. The expected return and risk of portfolios are constructed by combining risky assets with risk-free investments in government bonds.
  • Investment portfolio and market risk
    In this chapter we evaluate the performance of a portfolio manager accounting for market risk. Adjusting average returns for risk presents a host of issues because the proper measure of risk may not be obvious and risk levels may change along with portfolio composition. We begin with conventional approaches to risk adjustment. These use the risk measures developed earlier to rank investment results.
  • Interest rate risk
    In this part, we calculate how bond prices will change over time for a given interest rate projection. The call, convertibility and sinking fund provisions, are described and analyzed how these provisions affect a bond’s price and yield to maturity.
  • Analysis and assessment of default risk
    In this part are identified and analyzed the determinants of bond safety and rating and how default risk is reflected in bond yields and the prices of credit default swaps.
  • The foreign exchange market and currency risk
    In this part we analyze foreign exchange market and learn how to hedge currency risk. We formulate hedge strategies to offset the currency risk involved in international investments.
  • Global risks and the risk of country
    In this part are introduced global, political and country-specific risks that must be considered in the overall risk assessment. Also, students learn how performance attribution procedures can be adapted to an international setting.
Элементы контроля

Элементы контроля

  • неблокирующий Created with Sketch. Homework projects
  • неблокирующий Created with Sketch. Students’ activities at class
  • неблокирующий Created with Sketch. Written assignment
  • неблокирующий Created with Sketch. Exam
Промежуточная аттестация

Промежуточная аттестация

  • Промежуточная аттестация (4 модуль)
    0.5 * Exam + 0.225 * Homework projects + 0.05 * Students’ activities at class + 0.225 * Written assignment
Список литературы

Список литературы

Рекомендуемая основная литература

  • Crouhy, M., Galai, D., & Mark, R. (2006). The Essentials of Risk Management. New York: McGraw-Hill Professional. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=165272

Рекомендуемая дополнительная литература

  • Kidwell, D. S. (2013). Financial Markets, Institutions and Money (aus) 3e (Vol. 3rd ed). Melbourne: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1650525