|
Objectives
Course participants are expected to:
-understand the basic concepts of financial risk
-be familiar with the different financial products
-understand the aims and difficulties of scenario analysis
-be able to implement the learned concepts by applying measurement techniques of financial risk
Target Attendees / Participants
This module prepares current master of engineering students who will be accountable for ensuring that risk is effectively managed within the organization as a whole or within a specific area, project or activity. This is also for students who will be dealing with evaluation of an organization's effectiveness in managing risk.
Course Content by Units
Value-at-Risk
CVaR
Backtesting
Scenario Analysis
Simulation techniques
Joint Interpretation
Case: Asset Liability Management
Teaching Methods
The course includes:
- introductory note explaining aim and structure of the course, used teaching methodology as well
- ex cathedra lecturing illustrated by number of examples
- case study
Literature
-Aswath Damodaran (2007). Strategic Risk Taking: A Framework for Risk Management, Pearson Prentice Hall
-P. Best (1999). Implementing Value at Risk (Wiley Series in Financial Engineering), Wiley
-Carol Alexander (2009). Market Risk Analysis, Value at Risk Models (Volume IV), Wiley
-David Ardia (2008). Financial Risk Management with Bayesian
Estimation of GARCH Models: Theory and Applications (Lecture Notes in
Economics and Mathematical Systems, Springer
-Greg N. Gregoriou, Marco Micocci, Giovanni Batista Masala (2010). Pension Fund Risk Management: Financial and Actuarial Modeling (Chapman & Hall/Crc Finance Series)
-Kyriaki Kosmidou, C. Zopounidis (2004). Goal Programming Techniques for Bank Asset Liability Management (Applied Optimization), Springer
-Marco Corazza, Pizzi Claudio (2010). Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer
-Ngai Hang Chan, Hoi-Ying Wong (2006). Simulation Techniques in Financial Risk Management (Statistics in Practice), Wiley-Interscience
|