Objectives and competences
Students will be able to identify and perceive analytically, accept, measure and hedge properly various types of risks in financial institutions.
Content (Syllabus outline)
1. Risk and return
2. Financial institutions' risk exposure: banks, insurance companies and pension funds
3. Mutual and hedge funds
4. Risk in trading in financial markets
5. Interest rate risk
6. Volatility
7. Scenario analysis and stress testing
8. Operational risk
9. Liquidity risk
10. Value at risk
11. Enterprise risk management
12. Risk management mistakes to avoid
Learning and teaching methods
- Lectures,
- Lectures of bank experts,
- Active student engagement
Intended learning outcomes - knowledge and understanding
In this course students:
1. Systematically upgrade their knowledge of risk management in complex business models of financial institutions (PILO 2a).
2. Distinguish and compare exposures to individual risk types (PILO 2a, PILO 2b).
3. Use different quantitative approaches and measures of risk, e.g. parametric and non-parametric value at risk (PILO 2a, PILO 2b)
4. Are able to select the appropriate quantitative risk assessment method to obtain a solution to a complex problem and be able to judge the reliability, validity and significance of the estimated result (PILO 2a, PILO 2b).
5. Are aware of their own ethical and professional responsibility in risk management (PILO 4a).
6. Critically analyse complex, incomplete (incomplete) and contradictory areas of knowledge and understandably explain the results of critical analysis (PILO 2c, PILO 3a)
7. Independently argue their findings in analytical work on a selected question or case study (PILO 3b, PILO 4b).
8. Critically assess the sustainable and social impact of financial institutions (PILO 4b).
The PILO label (i.e., Programme Intended Learning Outcomes) defines the contribution of each listed intended learning outcome of a course towards achieving the general and/or subject-specific competencies or learning outcomes acquired through the programme.
Intended learning outcomes - transferable/key skills and other attributes
In this course students:
1. Systematically upgrade their knowledge of risk management in complex business models of financial institutions (PILO 2a).
2. Distinguish and compare exposures to individual risk types (PILO 2a, PILO 2b).
3. Use different quantitative approaches and measures of risk, e.g. parametric and non-parametric value at risk (PILO 2a, PILO 2b)
4. Are able to select the appropriate quantitative risk assessment method to obtain a solution to a complex problem and be able to judge the reliability, validity and significance of the estimated result (PILO 2a, PILO 2b).
5. Are aware of their own ethical and professional responsibility in risk management (PILO 4a).
6. Critically analyse complex, incomplete (incomplete) and contradictory areas of knowledge and understandably explain the results of critical analysis (PILO 2c, PILO 3a)
7. Independently argue their findings in analytical work on a selected question or case study (PILO 3b, PILO 4b).
8. Critically assess the sustainable and social impact of financial institutions (PILO 4b).
The PILO label (i.e., Programme Intended Learning Outcomes) defines the contribution of each listed intended learning outcome of a course towards achieving the general and/or subject-specific competencies or learning outcomes acquired through the programme.
Readings
1. Hull,J. C., Risk Management and Financial Institutions,2023 Wiley (izbrana poglavja)
2. Aktualna gradiva in znanstveni članki
Additional information on implementation and assessment Written exam or midterm tests.
Seminar work
Written exam or midterm tests - wWritten exam or two midterm tests.
Seminar work - writing an individual seminar paper and oral presentation.
