RISK MANAGEMENT (4 Credits)

Learning Outcomes:

On successful completion of this Course, students will be able to: Explain the basic knowledge of commercial banking’s activities and their trading in financial market as well as estimating the risk involve in these activities; Calculate the concept of interest rate risk, market risk and valuing the risk and expected shortfall; Calculate credit risk and estimating the default probabilities to estimate amount of capital required; Analyze the concept of liquidity risk and operational risk.

Topics:

1. Introduction to Risk and Return;
2. Commercial Banking and Its Business Activities;
3. Trading in Financial Market;
4. Valuation and Scenario Analysis : The Risk Neutral and Real World;
5. Interest Rate Risk;
6. Managing Risk of Trading;
7. Value at Risk and Expected Shortfall;
8. International Banking Regulations : Basel I, Basel II and Basel III;
9. Managing Credit Risk;
10. Estimating Default Probabilities;
11. Credit Value at Risk ;
12. Operational Risk;
13. Liquidity Risk