2017/2018
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 |
- Linda Sandris Larsen - Department of Finance
(FI)
|
| Main academic
disciplines |
|
|
|
Last updated on
30-05-2017
|
| 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 on CBS'
computers |
| 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 |
Limited aids, see the list below:
The student is allowed to bring - Non-programmable, financial calculators: HP10bll+ or Texas BA
II Plus
- Language dictionaries in paper format
The student will have access to - Advanced IT application package
At all written
sit-in exams the student has access to the basic IT application
package (Microsoft Office (minus Excel), digital pen and paper,
7-zip file manager, Adobe Acrobat, Texlive, VLC player, Windows
Media Player). PLEASE NOTE: Students are not allowed to communicate
with others during the exam :
Read more about exam aids and IT application
packages here |
| 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.
|
|
| 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. |
| Feedback during the teaching period |
| In order to increase the students immediate
understanding and reflection of the course material there will be
buzz-assignments and questions during the lectures. The students
will be asked to work at exam-relevant problems before the
exercise-classes. At the exercise class the students have the
opportunity to receive ongoing feedback on these
problems. |
| 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
30-05-2017
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