2025/2026

Управление рисками

Статус: Маго-лего

Кто читает: Международный институт экономики и финансов

Когда читается: 1 модуль

Охват аудитории: для своего кампуса

Преподаватели: Фардо Винсент Марк

Язык: английский

Course Syllabus

Abstract

Prerequisites First year courses of the MSc in Financial Economics, in particular Financial Economics I (asset pricing). Abstract This course deals with the ways in which risks are quantified and managed by financial institutions. It consists of two parts, one on market risk and one on credit risk. The first part of the course studies how to model the risk of portfolios emanating from fluctuations in market prices, or market risk. A parametric structure on the distribution of returns may be imposed, or the realised distribution of returns can be used to generate a non-parametric distribution of returns. With the parametric or non-parametric distribution of returns in hand, the risk of particular portfolios can be studied and optimised with reference to the likelihood of losses (Value-at-Risk or Expected Short-fall). Finally applications and short-comings of market risk management tools in banking and financial stability regulation will be studied, and in particular the evolution of the Basel regulation. The second part of the course gives an introduction to commonly used models of credit risk. Credit risk is the risk of loss due to a debtor's non-payment of a bond or a loan. Models of default risk of a single counterparty are studied, and then extended to the case of portfolios of bond or loans. The major complication with portfolios is the correlation of defaults. Regulation of credit risk in the Basel II Accord and its transition to Basel III is presented briefly. Finally, financial instruments used to mitigate credit risk, in particular credit derivatives, are discussed. This part of the course is designed to strike a balance between a practical approach to the most popular credit risk models and their theoretical underpinnings.