2016/2017
KAN-CFSMO1113U Risk Management
| English Title |
| Risk Management |
|
|
| Language |
English |
| Course ECTS |
7.5 ECTS |
| Type |
Mandatory |
| Level |
Full Degree Master |
| Duration |
One Semester |
| Start time of the course |
Spring |
| Timetable |
Course schedule will be posted at
calendar.cbs.dk |
| Study board |
Study Board for MSc in Economics and Business
Administration
|
| Course
coordinator |
- Jesper Lund - Department of Finance (FI)
|
| Main academic
disciplines |
|
|
|
Last updated on
21-09-2016
|
| Learning objectives |
To achieve the grade 12, students
should meet the following learning objectives with no or only minor
mistakes or errors: 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.
The aim of the course is that students after having followed the
course are able to:
- Analyze and discuss the role of risk management in different
financial institutions.
- Construct hedging positions for financial instruments based on
"greek" risk measures.
- Calculate fixed-income risk measures such as duration for bond
portfolios and use these for hedging decisions.
- Apply and analyze Value-at-Risk concepts and related risk
measures such as expected shortfall.
- Calculate 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).
- Analyze and discuss basic credit risk modelling concepts.
- Calculate values of credit-risky debt securities in the Merton
model under different seniority assumptions.
- Analyze and discuss the problems for risk management created by
liquidity risk and model risk.
|
| Examination |
|
Risk
Management:
|
| Exam
ECTS |
7,5 |
| Examination form |
Written sit-in exam |
| Individual or group exam |
Individual exam |
| Assignment type |
Written assignment |
| Duration |
4 hours |
| Grading scale |
7-step scale |
| Examiner(s) |
Internal examiner and external examiner |
| Exam period |
Spring |
| Aids allowed to bring to the exam |
Limited aids, see the list below:
- Written sit-in-exam on CBS' computers
- Approved calculators: HP 10bII+ and Texas BA II Plus
- Dictionaries (only some, see specification
below)
|
| Make-up exam/re-exam |
Same examination form as the ordinary exam
If the number of registered candidates for the make-up
examination/re-take examination warrants that it may most
appropriately be held as an oral examination, the programme office
will inform the students that the make-up examination/re-take
examination will be held as an oral examination
instead.
|
Description of the exam
procedure
Language dictionaries are
allowed.
|
|
| Course content and
structure |
|
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. Credit risk and
specific risk measures for interest-rate risk and option risk will
also be covered in the course.
|
| Teaching methods |
| Lectures with exercises. |
| Student workload |
| Lectures and exercises, including own preparation |
202 hours |
| Exam |
4 hours |
|
| Expected literature |
|
Hull, John C. Risk Management and Financial
Institutions. 4th edition. Wiley 2015 (or later
edition).
|
Last updated on
21-09-2016
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