Elements of financial risk management (2018/2019)

Learning outcomes

This is an optional module for the equivalent of 2 credits taught by professor Professor Kim Christensen of Aarhus University, DK
The module is coordinated with the course of Risk Management of the CdLM in Economics.
Lectures and lab sessions will take place in the first semester, in November 2018.

Every day, companies around the world are exposed to various sources of financial risk. Risk management is the process by which such risk exposures are identified, measured and controlled. This course intends to introduce students to basic elements of financial risk management, including how to define risk, how we can measure risk from historical returns data, and how we can exploit stylized features of empirical risk measures to construct time series forecasts of the risk we expect to face in the future.

After completing this module, the students are expected to have :
- gained an understanding of the main models and measures to assess risk
- developed abilities to approach the problem of constructing forecasts of risks

After completing this course, the students are expected to have gained an understanding of:

- Sources of financial risk
- Value-at-Risk
- Coherent risk measures
- Expected Shortfall
- Historical simulation
- Basic time series analysis
- Time-varying volatility
- Volatility modeling and forecasting
- RiskMetrics
- The GARCH(1,1) model

The reference textbook is:
P. Christoffersen “Elements of Financial Risk Management”. Academic Press, 2nd edition.

The course evaluation is comprised of handing in two written group assignments based on solving selected exercises the course book. Each student will receive an overall grade for the assignments from 0 to 3 [0: failed, 1 – 3: passed]. 2 credit type D is allocated to students with passed assignments. Also attendance of the classes and laboratory activities is required.

STUDENT MODULE EVALUATION - 2017/2018