International

Financial Risk Management(E)

level of course unit

First Cycle

Learning outcomes of course unit

Students should get clear understanding of all aspects of
financial risk management and of the way how financial institutions are supervised and regulated by the national financial authorities.

Comprehensive approach - in a qualitative and
quantitative way - to the main categories of financial risk – market risk, credit risk, operational risk and liquidity risk – will allow to get detailed practical knowledge about these crucial for the successful banking business issues.

Detailed up-to-date review of important for the financial
sector regulations as Basel III / IV frameworks, Dodd-Frank Act, Solvency II will be presented.

Good understanding of important recent concepts like counterparty credit risk, central clearing, securitization and collateralization also will be acquired by students within this course of lectures.

prerequisites and co-requisites

Minimal knowledge of elementary financial mathematics

course contents

1. Banking Risks
2. Risk Management Processes
3. Market Risk Models
4. Credit Risk Models – Standalone & Portfolio Risk
5. Counterparty Credit Risk in Derivatives
6. Operational Risk Models
7. Value-at-Risk Methodology
8. Volatility & Correlations
9. Risk Regulations: Basel III, Dodd-Frank Act & Solvency II

recommended or required reading

1. “Risk Management and Financial Institutions”, John C. Hull. Wiley, 5th ed., 2018.
2. “Risk Management in Banking”, Joel Bessis. Wiley, 4th ed., 2015.
3. “Principles of Banking Regulation”, Alexander Kern. Cambridge Univ. Press, 2019.

assessment methods and criteria

Final examination

language of instruction

English

number of ECTS credits allocated

3

planned learning activities and teaching methods

face-to-face, Presentation, discussion, individual and group work

semester/trimester when the course unit is delivered

2

name of lecturer(s)

Dr. Vladimir Zenevitch

year of study

1

recommended optional program components

non

course unit code

IP_SS

type of course unit

integrated lecture

mode of delivery

optional

work placement(s)

Not applicable.

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