Objectives

Course objective: This course provides an introduction to financial risk management techniques on the master level. We will cover important techniques to model and manage market risk, credit risk, and operational risk. In addition, focus is given how to adequately model assets' volatility and dependence structures (among each other). At the end of the course, student should have a profound knowledge to identify, model, and manage the main risks of financial institutions.

The course is structured into lectures, exercises, and guest lectures.

Contents

Main topics:

• Risk and Risk Management in Perspective
• Risk Measures
• Volatility Modelling
• Dependence Modelling
• Tail Risk Hedging
• Management of Credit Risk
• Management of Operational Risk

Grading: Your grade will be determined by the following:

• Final exam 100%

References

Course textbook:

1. Hull, J.C. (2018): Risk Management and Financial Institutions, Wiley Finance Series, 5th Edition

Other useful textbooks:

• McNeil, A.J.; Frey, R.; Embrechts, P. (2015): Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press,

• Danielsson, J. (2011): Financial Risk Forecasting, Wiley Finance Series

• Jorion, P. (2011): Financial Risk Manager Handbook, Wiley Finance Series, 6th Edition

• Christoffersen, P. (2016): Elements of Financial Risk Management, Academic Press, 2nd Edition

I will also assign some research papers during the course.

Pre-requisites

Good knowledge in quantitative methods, asset pricing, and portfolio management.

Evaluation

First attempt

Exam:

Written 2h00 hours

Documentation:

Allowed with restrictions

Calculator:

Allowed

Evaluation:

Exam:

• The final exam is mandatory and required to pass the course.

• Date of the final exam TBA.

Retake

Exam:

Written 2h00 hours

Documentation:

Allowed with restrictions

Calculator:

Allowed

Evaluation:

Exam:

• The final exam is mandatory and required to pass the course.

• Date of the final exam TBA.