Risk is an integral part of financial decisions. Financial risk management is increasingly important and financial analysts must be prepared to assess the level of risk in the marketplace. This course explores the basic concepts of modelling, measuring and managing financial risks within the regulatory framework. Topics covered include market risk (value-at-risk and expected loss), credit risk (single name, portfolio, ratings and market-based models, and credit derivatives), liquidity risk and operational risk. The course relies heavily on practically based computer laboratory exercises with emphasis on simulations, real-life examples and case studies.
1x 2hr lecture and 1x 1hr tutorial per week
Lab exercises (20%), group project (20%), mid-semester exam (20%), final exam (40%)