Duration
30h Th
Number of credits
| Master in management (120 ECTS) | 5 crédits |
Lecturer
Language(s) of instruction
English language
Organisation and examination
Teaching in the first semester, review in January
Schedule
Units courses prerequisite and corequisite
Prerequisite or corequisite units are presented within each program
Learning unit contents
This advanced finance course provides an overview of the risk management function and scope in a financial institution, and reviews the main financial risks: Market Risk, Interest-Rate Risk, Credit Risk, Operational Risk, Liquidity Risk... Basic risk management concepts will also be detailed (stochastic processes, hedging, Greeks, duration, dependence and copulae, Value-at-Risk...)
This course features in the framework of the CFA Institute University Recognition Program. It spans a significant portion of the CFA Programe Candidate Body of Knowledge (CBOK), and explicitly prepares for the CFA certification.
Contents:
A) Foundations of Financial Risk Management
A. 1. The scope of financial risk management
A. 2. Designing the risk management strategy
A. 3. Principles of financial risk management
B) Market Risk Management Tools
B. 1. Derivative securities and markets
B. 2. Managing linear risks
B. 3. Managing nonlinea risks
C) Interest Rate Risk Management
C. 1. Measuring interest rate sensitivity
C. 2. Interest rate derivatives
D) Quantitative Risk Management Methods
D. 1. Measures of tail risk
D. 2. Local valuation VAR models
D. 3. Historical VaR models
D. 5. Monte-Carlo VaR models
D. 6. VaR backtesting
D. 6. Stress testing
Appendix 1: Modified VaR
Appendix 2: EVT VaR
E) Credit risk
E. 1. Fundamentals of Credit Risk
E. 2. Credit ratings
E. 3. Credit risk estimation
Appendix 1: Leading credit risk models
F. Operationnal risk (guest lecture)
An guest lecture is organized with a guest speaker with an experience of Chief Risk Officer (CRO) or equivalent in a prominent financial institution. Other external guests (financial consulting experts) will also share their knowledge and experience in risk management.
To illustrate and practise the concepts, a set of interactive exercise sessions will be organized. An assignment will also provide a synthetic point of view on the whole course.
Learning outcomes of the learning unit
The course pursues two 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 and case studies
Intended Key Learning Outcomes:
In concordance with the Key Learning Outcomes of the Master in Management Sciences, this course aims to enable the student to:
- Strategy: Establish a strategy in order to optimize the value chain of a company, an organization or a project
* based on the analysis of its financial and economic context.
* taking into account its legal constraints.
* adopting the position of a specialist in the field of management of his / her finality.
* demonstrating a critical mind and scientific precision.
- Implementation: Take charge of the everyday management of a company, an organization or a project
* implementing the strategy that was established for this company, organization or project.
* in a holistic perspective, taking into account the interactions between its different functions.
* capitalizing on the characteristics of a more and more digitalized world.
* analyzing his/her managerial practice with a critical and ethical mind.
- Control: Plan and implement the performance and quality control in a company, an organization or a project
* in a holistic perspective, taking into account the interactions between its different functions.
- Communication: Communicate efficiently, internally and externally, about a company, organization or project
* in English.
- Adaptability: Adapt his/her managerial practice to the needs of a fast-evolving world.
* being conscious of its societal, economic, political and environmental issues.
* showing curiosity and a scientific precision of academic level.
* showing creativity, autonomy and entrepreneurial spirit.
Prerequisite knowledge and skills
- Financial Derivatives (or equivalent) - Investments and Portfolio Management (or equivalent) A solid background in probability theory, statistics and econometrics is required.
Planned learning activities and teaching methods
- Theory sessions (including illustrations and practical examples)
- Presentations by external guest experts
- 2 x 3 hours of exercise sessions, featuring the resolution of practical exercises involving the measurement and evaluation of financial risks as well as the identification of most appropriate management/hedging decisions
Mode of delivery (face to face, distance learning, hybrid learning)
Theory + Exercise sessions
Guest lectures:
- CRO of a financial institution
- Expert in modelling
Recommended or required readings
Powerpoint presentations (available on the university's website lol@). John C. Hull's book "Risk Management and Financial Institutions" (Pearson Educ. Edition).
The final assessment will be in several parts:
- closed-book written exam (80% final grade - individual)
- practical assignment (20% final grade - individual)
Work placement(s)
Organisational remarks and main changes to the course
Contacts
Teacher
Georges Hübner
N1, Office 111
g.hubner@uliege.be
04/2327428
Assistant
Célina Thonus
N1, Bureau 111