RPRD 801: Risk Management Theory and Applications

This course is an introduction to Risk Management theory and practice in financial institutions. The first part of the course introduces basic modeling strategies and practices, exploring their strengths and weaknesses. The second part of the course explores new attempts to deal with weaknesses revealed by the Crisis.

A. Conventional Risk Management Theory and Applications within the Financial Institution

  • Introduction to Risk Management
  • Market Risk Models
  • Credit Risk Models and Practices
  • Credit Derivative models
  • Model Risk and Back-Testing
  • Stress Tests
  • Introduction to Market Micro-Structure and Liquidity Risk Models

B. Risk Management Lessons Being Learned from the Crisis

  • Modifying the models
  • Changes to RM Thinking and Practice

Crouhy, Galai and Mark, Risk Management, McGraw-Hill 2001. (Crouhy (2001))
Dowd, Measuring Market Risk, Second Edition, Wiley, 2005.

Basic References
Saunders and Allen, Credit Risk Management In and Out of the Financial Crisis,Third Edition, Wiley Edition, 2010.
Beneplane and Rochet, Risk Management in Turbulent Times, OUP, 2011.
Jarrow and Turnbull, Derivative Securities, Second Edition, 2000.
Meissner, Credit Derivatives: Applications, Pricing and Risk Management, Blackwell, 2005.
Constantinides, Harris and Stulz (eds) Handbook of the Economics of Finance, Vols 2A and 2B, North-Holland (2013).
Shin, Risk and Liquidity, (2011) OUP.

Reading list 2017

RPRD 801 Reading List August 2017

Exercises 2017

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