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.

Compulsory activities: Compulsory assignments with oral presentations throughout the semester which also give access to a final exam.

Compulsory assignments

• Mandatory attendance

Further on evaluation

Engelsk

Examination: Portfolio assessments counts for 40% of final grade and a written school exam 60%. Number of group based assignments to be included in the portfolio and other details will be given at the beginning of the semester. Students will have to pass both the portfolio and the written school exam in order to complete the course. Portfolio to be handed in via Inspera at a specified date which will be announced later in the semester.

Resit examination: A resit exam on the written part will be held the following semester. If a student fail the portfolio but pass the written exam, the student must retake both examination parts in the next ordinary examination period. In case a student wants to improve the grade in the course, one must retake the whole course.

Note that attending lectures are mandatory and 80% attendance is needed in order to get access to the final written school exam.

Examination aids:

Dictionary and calculator.

Specific conditions

Recommended previous knowledge

As for the study programme. Bachelor in Business administration or equivalent degree from an international institution.

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

Risk Managment and Financial Institutions, 5th edition, John C. Hull, WILEY

ISBN: 978-1-118-95594-9