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2011/2012  KAN-FSM_FS52  Risk Management

English Title
Risk Management

Course Information

Language English
Point 7,5 ECTS (225 SAT)
Type Mandatory
Level Full Degree Master
Duration One Semester
Course Period Spring
Time Table Please see course schedule at e-Campus
Study Board
Study Board for MSc in Economics and Business Administration
Course Coordinator
  • Jesper Lund - Department of Finance
Main Category of the Course
  • Finance
Last updated on 29 maj 2012
Learning Objectives
The aim of the course is to describe the risk management process from the perspective of financial institutions as the process by which various risk exposures are identified, measured, and controlled. Value-at-Risk is a quantitative risk management tool that has been developed to facilitate the assessment and communication of financial risks. The course offers a comprehensive presentation of theoretical as well as practical aspects underlying the measurement and application of Value-at-Risk.
Risk Management:
Assessment Written Exam
Marking Scale 7-step scale
Censorship External examiners
Exam Period April
Aids Closed Book
Duration 4 Hours
Individual 4-hour written exam. No technical nor written aids are allowed at the exams, except from Texas Instruments TI-30X IIS (solar), Texas Instruments TI-30X IIB (battery), TI-30X IIS/IIB, TI-30XS MultiView and TI-30XB MultiView calculators. The regular exam will take place in April. Make-up/ re-exam takes place in June.
Course Content

The course will motivate and discuss the need for financial risk management in light of recent financial scandals and disasters and in relation to international capital adequacy requirements for banks and other financial institutions. As modern capital requirements rely increasingly on Value-at-Risk we will take a detailed look at this quantitative risk measurement tool. The course will go through all of the steps necessary for computing reliable Value-at-Risk numbers, e.g. parameter estimation, volatility modelling, back-testing, stress-testing, Monte Carlo and historical simulation techniques. Throughout the course we will give special attention to how derivative instruments can affect Value-of-Risk for portfolios and thus be actively used in the process of managing financial market risks.

Teaching Methods
Lectures with exercises.

Jorion, P. (2002). Value at Risk: The New Benchmark for Managing Financial Risk, 3rd ed., McGraw-Hill.