ANALYSIS AND MANAGEMENT OF FINANCIAL RISK

Course Information
TitleΑΝΑΛΥΣΗ ΚΑΙ ΔΙΑΧΕΙΡΙΣΗ ΧΡΗΜΑΤΟΟΙΚΟΝΟΜΙΚΩΝ ΚΙΝΔΥΝΩΝ / ANALYSIS AND MANAGEMENT OF FINANCIAL RISK
CodeΜΠΠ3
FacultySocial and Economic Sciences
SchoolEconomics
Cycle / Level2nd / Postgraduate
Teaching PeriodSpring
CoordinatorNikolaos Thomaidis
CommonNo
StatusActive
Course ID600012694
Class Information
Academic Year2017 – 2018
Class PeriodSpring
Faculty Instructors
Weekly Hours3
Class ID
600054174
Mode of Delivery
  • Face to face
Digital Course Content
Language of Instruction
  • Greek (Instruction, Examination)
Learning Outcomes
o Presenting modern approaches to the analysis and management of financial risks with emphasis on the quantification of extreme risks. o Acquaintance with the J.P. Morgan-MSCI/RiskMetrics framework. o Demonstrating how general risk-management principles can be applied to popular types of financial securities. o Learning how to design computer-based risk-monitoring systems suitable for real-life applications.
General Competences
  • Apply knowledge in practice
  • Retrieve, analyse and synthesise data and information, with the use of necessary technologies
  • Adapt to new situations
  • Make decisions
  • Work autonomously
  • Work in an international context
  • Work in an interdisciplinary team
  • Generate new research ideas
  • Design and manage projects
  • Advance free, creative and causative thinking
Course Content (Syllabus)
 Introductory concepts: basic types of financial risks (market risk, credit risk, liquidity risk, etc), the regulatory framework for banks and other financial institutions, the Basle Accords (I-IV).  Methodologies for measuring financial risks: extremes risk measures and Value-at-Risk (VaR), the parametric approach: the case of 2 and Ν assets, the delta-normal approach, measuring the VaR of a portfolio exposed to multiple risk factors: application in stock, bond and foreign-exchange portfolios.  Special topics in financial risk analysis: measuring market risks using Monte-Carlo and historical simulation, methods for evaluating the adequacy of risk models in real data, portfolio selection and risk management using VaR.
Educational Material Types
  • Notes
  • Slide presentations
  • Book
Use of Information and Communication Technologies
Description
This module is a postgraduate-level exposition to popular methods and best practices for monitoring and managing financial risks. It starts with detailing the basic types of risk associated with financial investments (market, credit, liquidity, operational and legal risk) and then introduces the concept of Value-at-Risk (VaR), which forms the foundation of modern risk management systems. In the first part of the course (risk analytics) students are acquainted with the estimation of VaR on portfolios composed of different classes of financial securities (stocks, bonds, foreign exchange, etc). From delta-normal to Monte-Carlo, students are exposed to both analytical and simulation-based techniques for quantifying financial risks in the framework of RiskMetrics. The second part of the course (risk management) teaches how Value-at-Risk and related concepts can be used as guidance for the portfolio-selection process.
Course Organization
ActivitiesWorkloadECTSIndividualTeamworkErasmus
Lectures602
Laboratory Work301
Project501.7
Exams401.3
Total1806
Student Assessment
Student Assessment methods
  • Written Exam with Problem Solving (Summative)
  • Labortatory Assignment (Summative)
Bibliography
Course Bibliography (Eudoxus)
 Ζαπράνης, Α. (2009), Διαχείριση χρηματοοικονομικών κινδύνων με το Matlab, Κλειδάριθμος.
Additional bibliography for study
 Zorion Ph., Value-at-Risk: the New Benchmark for Managing Financial Risk, McGraw-Hill.  Cuthbertson K. & Nitzche D., Financial Engineering: Derivatives and Risk Management, John Wiley & Sons.  Saunders A., Allen L., Credit Risk measurement.
Last Update
27-02-2018