course-details-portlet

AE512216 - Risk Management

About

Lessons are not given in the academic year 2020/2021

Course content

- Risk Trading, Consumption based CAPM and Option contracts
- Banks, Insurance Companies and Pension Plans
- Portfolio and Hedge funds
- Derivative Contracts and Financial Engineering
- Market Risk
- Trading in Financial Markets and Credit Crisis 2007
- The Risk Neutral and the Real World
- How Traders manage their risk
- Volatility, Correlation and Copulas
- Value at Risk and Expected Shortfall
- Calculating market risk VaR/Expected Shortfall
- Regulations
- Basel I and II
- Basel III
- Credit Risk
- Managing Credit Risk
- Estimating Default probabilities
- CVA and DVA
- Credit Value at Risk

Other Topics in Risk Management
- Scenario Analysis and Stress Testing
- Operational Risk
- Liquidity Risk
- Model Risk
- Economic Capital and RAROC
- Enterprise Risk Management
- Risk Management Mistakes to Avoid

Learning outcome

Knowledge:
- Be competent in using the terminology of the field risk assessment and management
- Have in-depth knowledge of advanced financial instruments and evaluate the use of metodologies for varing risk situations
- after the course the students will have a general understanding of risk markets, market regulations, credit risk with default probabilities and the use of economic capital including risk adjusted return on captial employed.
- the students will have an extended undertanding of risk assessment and management, will be able to develop systems for risk management and maintain a complete risk management for industries and individual enterprises.

Skills:
- the students will be able to use advanced methodologies for the quantification and management of risk in financial institutions and to draw parallels to other industries.
- the student will be able to make a distinction between a risk free evaluation and the real world calculations (scenarioes).
- the students will learn how to use metodologies from the field Financial engineering.
- the students shall with the help from advance methodologies describe general elements within risk markets, understand i detail regulations (Basel I - III), and calculate default probabilities and calculate credit at risk.

Competence:
- Be able to view the risk managment topics in a larger business/economic professional perspective
- be able use risk instruments for the daily management for general organisations
- understand risks as an important part of every organisations strategic planning

Learning methods and activities

Teaching methods:
Faculty lectures and guest lectures. Two compulsory assignments with oral presentations.
Compulsory activities:

Two compulsory assignments with oral presentation that will give access to the 4 hours written school exam.

Previously approved mandatory assignments do not need to be handed in again for exams the following year.

Compulsory assignments

  • Two Compulsory exercises

Further on evaluation

Case in Risk Management counting for 25%.
A four hours written school exam counting for 75%.
Permitted examination aids:
Collection of formulas

Students are entitled to re-sit only the part of the examination in which they have had legitimate reasons for an absence or have failed.A re-sit examination will take place only during the designated period for re-sit examinations.

Specific conditions

Exam registration requires that class registration is approved in the same semester. Compulsory activities from previous semester may be approved by the department.

Admission to a programme of study is required:
Economics (MSØK)
Economics and Business Administration (ØAMSC)
Entrepreneurship (MENTRE)
Financial Economics (MFINØK)
Industrial Economics and Technology Management (MTIØT)
International Business and Marketing (860MIB)

Required previous knowledge

This course is only available to students who have been admitted to the following programmes:

- Master in International Business and Marketing, at Department of International Business (NTNU Aalesund) 
- Master in Business Administration, at Trondheim Business School (NTNU Trondheim)
- Master in Financial Economics, and Master in Economics, at Department of Economics (NTNU Trondheim)
- Master in Entrepreneurship, and Master in Industrial Economics and Technology Management, at Department of Industrial Economics and Technology Management (NTNU Trondheim)

Course materials

To be announced.

More on the course

No

Facts

Version: 1
Credits:  7.5 SP
Study level: Second degree level

Coursework

No

Language of instruction: English

Location: Ålesund

Subject area(s)
  • Economics and Administration
Contact information

Department with academic responsibility
Department of International Business

Phone:

Examination

  • * The location (room) for a written examination is published 3 days before examination date. If more than one room is listed, you will find your room at Studentweb.
Examination

For more information regarding registration for examination and examination procedures, see "Innsida - Exams"

More on examinations at NTNU