Risk Management in Financial Institutions (CF30852)
General information
Type: |
OP |
Curs: |
1 |
Period: |
S semester |
ECTS Credits: |
2 ECTS |
Teaching Staff:
Group |
Teacher |
Department |
Language |
|
Santiago Forte Arcos |
Economía, Finanzas y Contabilidad |
ENG |
Prerequisites
Core and Specialized-Compulsory Courses of the MSc in Finance.
The course is restricted to MSc in Finance students.
Previous Knowledge
Matrix algebra: product of matrices.
Statistics: mean, variance and probability distribution.
Financial theory: CAPM.
Course Learning Objectives
The course provides a comprehensive description and analysis of risk management in financial institutions. Its main focus is on modern technical tools for measuring and managing market and credit risk.
Competences
9. Adaptability, flexibility |
Relation between Activities and Competences
|
9 |
Exercises to be given in every week |
|
Final exam |
|
CONTENT
1. Introduction |
2. Market Risk 2.1. Introduction 2.2. Sensitivity Analysis 2.3. The Value at Risk (VaR) concept 2.3.1. Definition 2.3.2. Advantages of VaR as a measure of market risk 2.4. Calculating VaR 2.4.1. First approximation: parametric VaR 2.4.2. The Variance-Covariance approach 2.4.3. The Delta - Normal approach 2.4.4. The Montecarlo Approach 2.4.5. The Historical Simulation approach 2.4.6. Comparison of the different methods 2.5. VaR extensions: Incremental VaR and DeltaVaR 2.6. VaR in practice 2.6.1. Mapping 2.6.2. Back-Testing and Stress-Testing |
3. Credit Risk 3.1. Introduction 3.2. Single name credit risk: Default probabilities 3.2.1. Risk rating systems 3.2.2. Econometric models 3.2.3. Contingent claim models 3.3. Portfolio credit risk: CreditVaR 3.3.1. CreditMetrics 3.3.2. Other methodologies |
Relation between Activities and Contents
|
1 |
2 |
3 |
Exercises to be given in every week |
|
|
|
Final exam |
|
|
|
Methodology
The course combines theoretical and practical sessions.
ASSESSMENT
ASSESSMENT BREAKDOWN
Description |
% |
Exercises to be given in every week |
25 |
Final exam |
75 |
Assessment criteria
Ordinary Evaluation
The evaluation criteria has two components:
1. Individual homeworks (25%)
2. Final exam (75%)
To pass the course it is required a minimum score of 5 both in the final exam and in the average (applying the above weights). The grading criteria could be summarized as follows: if the the final exam grade and the average grade are both above 5, then the final grade is the average; otherwise the final grade is the minimum between the final exam grade and the average grade.
Retake
In case a retake exam is needed, the grade will be 100% determined by the retake exam grade.
Bibliography
Textbooks:
- Down, K. "Beyond Value at Risk". John Wiley and Sons, 1998.
- Crouhy, M.; Galai, D.; and Mark, R. "Risk Management". McGraw-Hill, 2001.
Other required material:
- Hull, J.C. "Options Futures and Other Derivatives". Fourth edition. Prentice Hall, 2000.
- Bodie, Kane and Marcus. "Investments". McGraw-Hill, 2011.
Timetable and sections
Group |
Teacher |
Department |
|
Santiago Forte Arcos |
Economía, Finanzas y Contabilidad |
Timetable
From 2019/4/26 to 2019/5/31:
Each Friday from 12:00 to 15:00.
Friday 2019/6/7 from 8:45 to 11:45.