FINA0023-4 : Financial Risk Management

University of Liege | Version française

Study programmes 2012-2013

Last update : 19/05/2013

FINA0023-4

Financial Risk Management

Duration :

30h Th

Number of credits :

Master degree in Management, professional focus in Banking and Asset Management, 2nd year		5

Master degree in Economics, professional focus in Economics and Finance, 2nd year		5

Lecturer :

Georges Hübner

Language(s) of instruction :

English language

Organisation and examination :

Teaching in the second semester

Course contents :

This advanced finance course provides an overview of the management of financial risks: Market Risk, Interest-Rate Risk, Credit Risk, Operational Risk... Basic risk management concepts will also be detailed (stochastic processes, hedging, dependence and copulae, Value-at-Risk...)
Contents:

Introduction to risk management
Introduction to stochastic processes
Principles of hedging, volatility, correlations and copulae
Interest-Rate risk
Basel Accords and Value-at-Risk
Economic Capital and RAROC
Credit risk
Operational risk

Regarding market risk, the course reviews the sources of risk and the mechanisms to quantify and control them, as well as the hedging strategies available to the risk manager. The analysis of credit risk goes through the assessment of individual and portfolio exposures, and the methods to manage this type of risk using credit derivatives. A critical assessment of the risks related to securitization is provided. The course provides an introduction to operational risk within the financial industry. To illustrate and practice the concepts, a set of interactive exercise sessions will be organized in the computer and virtual trading room of HEC-ULg. Furthermore, case studies representing virtual market situations will be analyzed during these exercises sessions.

Learning outcomes of the course :

The course pursues three main objectives: 1. To provide students with the body of knowledge necessary to understand the challenges of financial risk management, with a strong quantitative focus, and to possibly prepare a professional certification in the area of risk management; 2. To train students to the application of risk management concepts in realistic situations through exercises sessions in the trading room and case studies

Prerequisites and co-requisites/ Recommended optional programme components :

- Financial Derivatives (or equivalent) - Investments (or equivalent) A solid background in probability theory, statistics and econometrics is required.

Planned learning activities and teaching methods :

4 x 2 hours of exercise sessions in the Trading Room, featuring: a. the appropriation of a risk management software b. the resolution of a virtual case study (assignment)

Mode of delivery (face-to-face ; distance-learning) :

Theory + Exercise sessions (sessions in the Trading Room included) Assignment