RISK MANAGEMENT (2 Credits)

Learning Outcomes:

On successful completion of this course, students will be able to: LO1 – Define fundamental concepts related to risk and return, the functioning of various financial institutions, the impact of financial crises, and basic principles of volatility, correlation, copulas, Value at Risk (VaR), and Expected Shortfall (ES); LO2 – Calculate VaR and ES and delve into an assortment of other market risk topics, demonstrating comprehension of risk management in trading activities; LO3 – Calculate credit risk, operational risk, liquidity risk, model risk, climate risk, and enterprise risk management, showcasing their ability to use these concepts in various financial situations; LO4 – Analyze the implications of financial regulations including Basel I, II, and III, and FRTB, demonstrating an understanding of economic capital and the role of financial innovation in risk management.

Topics:

1. Volatility, correlation and copulas;
2. Economic capital and financial innovation;
3. Financial markets and the Global Financial Crisis;
4. Operational risk, liquidity risk, and model risk;
5. Calculation of VaR and ES;
6. Regulation: Basel I, II and III;
7. Climate risk and enterprise risk management;
8. Credit risk 2; Credit risk 1;
9. VaR and ES;
10. Insurance companies, pension funds, mutual funds, and hedge funds;
11. Other market risk topics;
12. Introduction;
13. risk vs. return;
14. banks.