2012/2013
KAN-FSM_FS52 Risk Management
|
English Title
|
|
Risk Management
|
|
|
|
Language
|
English
|
|
Exam ECTS
|
7.5
ECTS
|
|
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
|
|
|
|
Last updated on 09-07-2012
|
|
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.
|
|
Examination
|
|
|
|
Risk Management:
|
|
Type of test
|
Written Exam
|
|
Marking scale
|
7-step scale
|
|
Second examiner
|
External examiner
|
|
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.
|
|
Expected literature
|
|
Hull, John C. Risk Management and Financial Institutions. 2nd edition. Pearson. 2009.
|
Last updated on 09-07-2012
Permalink