Financial Risk Management

Module code: EC7097

Some of the most spectacular losses in finance have been due to failures in risk management. Either failure to properly appreciate the risk of an investment or to manage the people taking them. It has been said that “The best investors do not focus on return, they focus first on risk”. This module will help you do this. It will consider the key types of financial risk and how those risk may be estimated and reduced to manage portfolio returns.

This module will introduce you to the most common models and techniques used in the financial industry to measure and manage risk. This incorporates the tools used in risk management including managing individual sensitivities (e.g. delta) and broader techniques such as the Value-at-Risk (VaR) of assets and portfolios. Throughout there will be a strong focus on managing risks in financial institutions in particular credit, operational, and liquidity risks along with the key regulatory requirements effecting risk management.

Topics covered

  • Introduction and Enterprise Risk Management
  • Market Risk
  • Credit Risk     
  • Liquidity and Trading Risk
  • Operational Risk and Country and Sovereign Risk
  • The regulation of financial institutions
  • RAROC

Learning

  • 20 hours of lectures
  • 5 hours of seminars
  • 125 hours of independent study

Assessment

  • Group coursework, approx 10 pages (70%)
  • Exam, 1 hour (30%)