Course co-ordinator(s): Prof Andrew Cairns (Edinburgh).
Aims:
The aims of this course are:
- To equip students with a variety of tools to tackle problems involving univariate financial time series
- To provide a good grounding in the best practice of risk management within an organisation
- To understand economic measures of capital and capital allocation
- To have a thorough understanding of operational risk in its various forms
To identify and measure risks and then to take actions to mitigate risks and exploit risky opportunities through good risk management strategies.
Detailed Information
Course Description: Link to Official Course Descriptor.
Pre-requisites: none.
Location: Edinburgh.
Semester: 2.
Syllabus:
- Operational risk management
- Non-quantitative and quantitative methods and tools for managing operational risk
- Different ways of quantifying operational risk under Basel II
- Banking and insurance regulatory systems
- Risk management governance and culture
- Risk management governance structures and the risk management culture
- Governance issues including agency, audit and legal risk
- Rating agency assessments of an organisation’s risk management operation
- ERM frameworks and assessment
- Risk appetite and risk tolerance
- Economic capital and capital allocation
- Credit risk management
- Modelling and assessment of market risk
- Models for volatility clustering
- Non-normality, fat tails and skewness
- Assessment of value at risk
- Backtesting VaR models
- Market risk management
- Dynamic versus static hedging using financial derivatives; practical considerations
- Interest rate risk management
- Modern approaches to immunisation of interest-rate risk
- Asset-liability modelling
- How risks and risky opportunities affect the selection of strategy
- Advantages and disadvantages of different approaches to risk reduction; e.g. costs and benefits; information asymmetry; transparency; liquidity; basis risk; moral hazard
- Optimising risks and opportunities relative to the Board’s declared risk appetite and risk tolerances
- Case studies: examples of past disasters and examples of good practice
- Risk analysis of real and hypothetical scenarios including non-quantifiable risks; views of different stakeholders
SCQF Level: 11.
Credits: 15.
Other Information
Help: If you have any problems or questions regarding the course, you are encouraged to contact the course leader.
Canvas: further information and course materials are available on Canvas