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
Upon successful completion of the course, the student will be able to:
1. Systematically enhance knowledge of risk management in complex business models of financial institutions (PILO 2a).
2. Distinguish and compare exposures to different types of risks (PILO 2a, 2b).
3. Apply various quantitative approaches and risk measures, such as parametric and non-parametric Value at Risk (PILO 2a, 2b).
4. Select an appropriate quantitative risk assessment method to solve a complex problem and evaluate the reliability, validity, and significance of the obtained results (PILO 2a, 2b).
5. Recognize ethical dilemmas and demonstrate professional responsibility in the process of risk management (PILO 4a).
6. Critically analyze complex, incomplete, and conflicting domains of knowledge and clearly explain the results of the analysis (PILO 2c, 3a).
7. Independently argue findings in analytical work on a selected research question or case study (PILO 3b, 4b).
8. Critically evaluate the sustainability and societal 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
Upon successful completion of the course, the student will be able to:
1. Systematically enhance knowledge of risk management in complex business models of financial institutions (PILO 2a).
2. Distinguish and compare exposures to different types of risks (PILO 2a, 2b).
3. Apply various quantitative approaches and risk measures, such as parametric and non-parametric Value at Risk (PILO 2a, 2b).
4. Select an appropriate quantitative risk assessment method to solve a complex problem and evaluate the reliability, validity, and significance of the obtained results (PILO 2a, 2b).
5. Recognize ethical dilemmas and demonstrate professional responsibility in the process of risk management (PILO 4a).
6. Critically analyze complex, incomplete, and conflicting domains of knowledge and clearly explain the results of the analysis (PILO 2c, 3a).
7. Independently argue findings in analytical work on a selected research question or case study (PILO 3b, 4b).
8. Critically evaluate the sustainability and societal 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
Hull,J. C., Risk Management and Financial Institutions,2023 Wiley (izbrana poglavja)
Dodatna literature / Additional:
Aktualna gradiva in znanstveni članki / Relevant materials and scientific articles
Additional information on implementation and assessment Note:
Students may substitute the written exam with two midterm tests or two oral presentations.
