Course Objectives

The purpose of this course is to analyze the contemporary financial problems that companies and financial institutions encounter by emphasizing on the meaning of the financial risks and the means and models used to manage them.

Course Description

During this course we will analyze the meaning of financial risks such as credit risk, market risk, liquidity risk, interest rate risk, country risk, foreign exchange risk, operational risk, etc. We will focus on the models used to measure and manage:
• interest rate risk such as gap analysis, duration analysis, d-gap analysis
• market risk such as Value at Risk (VaR)
• credit risk
All these will be described through the use of case studies.

Suggested Textbooks

• Bessis J., ‘Risk management in Banking’, Second Edition, Wiley, 2002
• Jorion P., “Value at Risk: The New Benchmark for Managing Financial Risk”, 2nd Edition, McGraw-Hill, New York, 2000
• Hefferman S., “Modern Banking in Theory and Practice”, John Wiley and Sons, 1996
• Resti A., Sironi A., “Risk management and Shareholders’ Value in Banking”, J. Wiley & Sons, 2007
• Saunders A., “Financial Institutions Management-A modern perspective”, McGraw Hill Editions, 2002