International Financial (Risk) Management (intensive course)
EM3E5M07A1
Program
PGE
Visitants
Visitants
UE
International Financial (Risk) Management
Semester
A
Discipline
Finance
Contact hours
27 H
Number of spots
45
ECTS
5
Open to visitors
Yes
Language
Coordinator
Mihail Busu
List of lecturers
| Lecturer(s) | Contact hours - lecture | |
|---|---|---|
| Mihail BUSU | mihail.busu@fabiz.ase.ro | 27 h |
Pedagogical contribution of the course to the program
No educational contribution associated with this course for this program.Description
The lecture aims to offer students an overview about the growing importance of risk management as a major tool of sustainable and value-based management and to familiarize them with its most common mechanisms. Participants will get into the risk management value perspective, discuss its assumptions and discover major monitoring and incentive tools by putting a special focus on the sustainability aspect of existing financial instruments. To bridge the gap between theory and practice, students will deal with examples and case studies that tackle risk management issues (hedging, options and future contracts). The interactive organization of the lecture allows to quickly acquire the skills and techniques needed for analyzing the efficiency of financial instruments and judging about the effectiveness of risk management computational tools with respect to a sustainability-oriented and value-driven management approach.Teaching methods
Face-to-face
- Lectures- E-learning
In group
- Exercises- Oral presentations
- Case studies/texts
Interaction
- Discussions/debatesOthers
No items in this list have been checked.Learning objectives
Cognitive domain
Upon completion of this course, students should be able to- - (level 1) recognize good practices of treasury management in industry
- - (level 2) summarize the language and the practice of treasury management industry by reading professional treasury journals
- - (level 3) demonstrate an understanding of Foreign exchange theory and its applications in risk management
- - (level 4) analyze practical risk management problems using a case study approach (assignment)
- - (level 4) relate academic theories to the practice of risk management
- - (level 5) interpret and evaluate financial problems posed both in quantitative and non-quantitative terms.
Affective domain
Upon completion of this course, students should be able toNone affective domain have been associated with this course yet
Outline
I. Introduction to Financial Risk Management (4h) 1. Motivation for risk management 2. Why risk management? 3. Creating value with risk management 4. Measuring risk for a single asset and for a portfolio of assets II. Financial Engineering & Hedging (4h) 1. Basics of derivatives 2. Forwards, pricing of forward contracts under assumptions of dividends, carrying costs, etc 3. Futures, settlement mechanism, clearing house concept 4. Hedging with futures and forwards 5. Basic, and exotic options 6. Basics of option valuations, valuation options using Black-Scholes Model 7. Duration hedging III. Measuring volatility and Correlations (4h) 1. Conditional and unconditional volatility 2. Weighted and unweighted conditional volatility 3. EWMA and CARCH (1,1) approaches to volatility 4. Estimating covariance IV. Market Risk (4h) 1. Value at Risk (VaR) measurement 2. Historical and Monte Carlo Simulation approaches 3. Back-testing 4. Stress-testing 5. Capital charge for market risk under Basel rules V. Credit Risk (4h) 1. Credit analysis models (expert system, credit scoring and rating models, artificial neural networks 2. Capital charge for credit risk under Basel rules 3. Calculating default probabilities with actuarial and market prices based methods 4. Measuring loss given defaults with actuarial methods 5. Credit Derivatives VI. Operational Risk (4h) VII. Case study presentations (2h30) VIII. General conclusion (0h30)No prerequisite has been provided
Knowledge in / Key concepts to master
Knowledge of : - Basic knowledge of portfolio theory - Credit analysis models Key concepts to understand: - risk management - future contracts - options contracts - portfolio riskTeaching material
Mandatory tools for the course
- Computer- Calculator
- Reference manuals
Documents in all formats
- Case studies/texts
- Syllabus
Moodle platform
- Upload of class documents- Interface to submit coursework
- Assessments
Software
- Pack Office (Word, Excel, PowerPoint, Access)Additional electronic platforms
No items in this list have been checked.Recommended reading
Borghesi, A., & Gaudenzi, B. (2013). Risk management : How to assess, transfer, and communicate critical risks. Springer. Omenn, G. S. (2003). On the significance of “The Red Book” in the evolution of risk assessment and risk management.
opkin, P. (2018). Fundamentals of risk management: understanding, evaluating and implementing effective risk management. Kogan Page Publishers. Bouchaud, J. P., & Potters, M. (2003). Theory of financial risk and derivative pricing: from statistical physics to risk management. Cambridge university press. Hull, J. (2012). Risk management and financial institutions,+ Web Site (Vol. 733). John Wiley & Sons.
EM Research: Be sure to mobilize at least one resource
Textbooks, case studies, translated material, etc. can be enteredCHEHBI-GAMOURA, F. S., DERROUICHE, S. R., MALHOTRA, T. M., & DAMAND, F. D. PREDICTIVE CROSS-MANAGEMENT OF DISASTER PLANS IN BIG DATA SUPPLY CHAINS: FUZZY COGNITIVE MAP APPROACH. Gueye, D. (2021). Some Contributions to Quantitative Financial Risk Management (Doctoral dissertation, Université de Strasbourg).
Assessment
List of assessment methods
Intermediate assessment / continuous assessment 1Other (date, pop quiz, etc.) : -
Written and oral / Individual / English / Weight : 20 %
Details : Class activity
Written and oral / Individual / English / Weight : 20 %
Details : Class activity
Final evaluationLast class
Written (90 Min.) / Individual / English / Weight : 80 %
Details : -
Written (90 Min.) / Individual / English / Weight : 80 %
Details : -