2018/2019
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 |
|
|
| Teaching
methods |
|
|
|
Last updated on
21-06-2018
|
| 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.
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, apply and analyze 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, 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 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.
- Analyze and discuss the problems for risk management created by
liquidity risk. Calculate, apply, and analyze relevant liquidity
risk measures.
|
| Course prerequisites |
| The course is not intended to be an introductory
course. Students are assumed to be familiar with basic fixed income
concepts and basic option theory like the Black-Scholes'
formula. |
| 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
|
| 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, 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.
|
| Description of the 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
21-06-2018
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