Financial Risk Management
level of course unit
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
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.
4. “An Introduction to Banking. Principles, Strategy and Risk Management”, Moorad Choudhry. Wiley, 2nd ed., 2018.
assessment methods and criteria
language of instruction
number of ECTS credits allocated
eLearning quota in percent
planned learning activities and teaching methods
face-to-face, Presentation, discussion, individual and group work
semester/trimester when the course unit is delivered
name of lecturer(s)
Dr. Vladimir Zenevitch
course unit code
type of course unit
mode of delivery