BAN425 Applied Risk Management

• Topics

  This is a practitioner's seminar, which means that we approach risk management from an applied perspective. The practice of risk management has evolved materially over the recent years. The "three lines of defense" model is now applied in most financial and other large institutions. We will cover the following topics:

  • The application of the three lines of defense model in a specific setting (financial institutions)
  • The growing importance of the management and control of "non-financial" risk in financial and other institutions
  • The use of statistical tools to evaluate financial risks, be that from high-frequency data (market risk) or low frequency data (credit risk)

  As this is an applied seminar, the focus will be on practical applications of the material in a business setting. Academic theory will be discussed only to the extent that it is used in practice.

• Learning outcome

  Knowledge

  The student will know

  • the analytic methods used to evaluate credit and market risk
  • the application of the three lines of defense model to the financial industry
  • how "non-financial" risks, including sustainability risk, are identified, measured and controlled

  Skills

  The student will be able to

  • identify the different types of risks faced by a bank and know how they are managed
  • understand the regulatory structure underpinning financial regulation, including the three Pillars of the Basel accord
  • understand how statistical tools are deployed to different types of data to measure and control financial risks

  General competence

  The student will be able to

  • discuss and evaluate risk management models more generally
  • present their work to an audience

• Teaching

  One-week intensive course with standard lectures and some case studies.

• Credit reduction due to overlap

  None.

• Compulsory Activity

  Mandatory attendance.

• Assessment

  A group presentation (2-5 students in a group) on a given topic.

• Grading Scale

  Pass-Fail.

• Literature

  John C. Hull (2023), Risk Management and Financial Institutions, 6th Edition (Wiley).

  Other reading will be assigned as necessary.