Checking date: 04/07/2020

Course: 2020/2021

Risk Management
Study: Master in Actuarial and Financial Sciences (224)


Department assigned to the subject: Department of Business Administration

Type: Compulsory
ECTS Credits: 6.0 ECTS


Students are expected to have completed
Finance I and Finance II, Mathematics and Econometrics
Competences and skills that will be acquired and learning results.
This course is designed to train the participants in evaluating and measuring financial risks. The course starts with an analysis of matrix and risk profiles. Then the main points related with why and how should firms hedge are addressed. The Basel capital accords are discussed. After making sure that the participants know how to compute market value-at-risk (MVaR), the course turns to how to use MVaR and related risk measures in project selection, performance evaluation, and managerial compensation. The course then focuses on credit risks and its measure (CVaR) and how to deal with it using credit derivatives. The key points related with systemic risk and its measurement is also addressed. The course finishes with a review of operational risk measures (OVaR) and some implementation issues. The emphasis of the course is on modelling and measuring financial risk. The course deals with interest rate, exchange rate, commodity price, equity, credit, systemic and operational risks. The course draws heavily on financial theory. In addition, the disciplines of econometrics and statistics are heavily used to formulate and solve the problems faced by risk managers.
Description of contents: programme
Risk Measures - Portfolio theory - Credit Risk - Operational Risk - Market Risk (Basel, Solvency II)
Learning activities and methodology
ormal clases, case discussions and individual presentations
Assessment System
  • % end-of-term-examination 40
  • % of continuous assessment (assigments, laboratory, practicals...) 60
Basic Bibliography
  • Christoffersen, P.F. . Elements of Financial Risk Management. Academic Press.. (2012)
  • Crouhy, M. , D. Galai and R. Mark . The Essentials of Risk Management. Wiley. (2014)
  • Jorion, P. . Financial Risk Manager Handbook.. Wiley. (2011)
  • McNeil, A.J., R. Frey and P. Embrechts . Quantitative Risk Management. . Princeton University Press.. (2005)

The course syllabus and the academic weekly planning may change due academic events or other reasons.

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