MSc in Economics and Business Administration in Finance and Strategic Management
Risk Management
About the course
What you will learn
The course gives the students a theoretical as well as practical understanding of the risk management process from the perspective of financial institutions as the process by which various risk exposures are identified, measured, and controlled. At the end of the course, students are expected to be able to:
- Analyze and discuss the role of risk management in different financial institutions.
- Explain how derivative securities can be used for hedging and speculation.
- Explain, apply, and implement basic models for the pricing of forwards, futures, swaps, and options.
- Construct hedging positions for financial instruments based on "greek" risk measures.
- Apply and analyze Value-at-Risk concepts and related risk measures such as expected shortfall.
- Calculate, apply and analyze VaR risk measures for portfolios of stocks and financial derivatives with historical simulation and model-based approach.
- Analyze and discuss the key concepts of the Basel rules (financial regulation). Calculate and analyze the capital requirements under the different Basel regulations.
- Analyze, apply and discuss basic credit risk modelling concepts.
- Calculate and analyze default probabilities and related concepts using reduced form models as well as the structural model by Merton.
- Calculate values of credit-risky debt securities in the Merton model under different seniority assumptions.
- Calculate, apply, and analyze relevant liquidity risk measures.