Risk Management

BUEM042H7 (15 credits)
Full-Time and Part- Time Year 1/2
Autumn/Spring Term

Lecturers to be announced

Course Aims and Objectives

The course provides an introduction to modern risk management theory and practice. Students will develop problem-solving skills in risk management applications and become conversant with up-to-date techniques employed by financial institutions.

More in detail, this module aims to:

• provide students with the knowledge of statistical techniques applicable to measuring risk in portfolios;
• enable students to apply these techniques in practice;
• make students acquainted with standard risk models and to have a thorough critical understanding of the strengths and weaknesses of these models.

Outline of Topics

• The Basel proposals for bank capital requirements
• Backtesting Risk Models
• Credit risk modeling including Credit-VaR
• Modelling Volatility and Correlation using GARCH techniques
• Strategic Asset Allocation
• Tactical asset allocation
• Performance measurement
• Hedge fund risk
• Risks associated to the choice of model and the liquidity of the market

Course Assessment

A two-hour examination in June.

Recommended Texts

To be announced.