Financial Risk Management (ECFS868)

Financial Risk Management (FRM) is based on an enterprise risk management framework designed to increase the likelihood that an organisation will achieve its objectives. Unlike traditional, purely defensive approaches to risk, FRM's philosophy focuses on how effective risk management adds value to the organisation. We consider methods for identifying, assessing and treating a variety of risks, with special focus on market, credit, funding liquidity and operational risks. The unit encompasses both quantitative skills and broader human and organisational issues. We encourage students to question the assumptions behind the models, to think about behavioural biases, to identifiy ethical issues, to consider incentives, and to think creatively of risk management solutions. The lectures deliver theoretical and industry relevance by using a case study methodology. Lectures are complemented by online learning activities designed to promote student interaction, engagement and understanding throughout the unit. Assessable pre-unit activities must be completed prior to the first class.

Learning Outcomes:

  1. Assess an enterprise, strategy, transaction or situation to identify and classify the key risks.
  2. Apply a risk management framework having regard to the institutional setting (banks, non-financial corporation vs managed funds).
  3. Critique or defend governance systems for an enterprise having regard to incentive conflicts between stakeholder groups, information asymmetries, appropriate risk-taking and ethical considerations.
  4. Identify and analyse ethical dilemmas that arise in risk management.
  5. Understand and assess the following risks: market, credit, operational, funding liquidity.
  6. Use, interpret and critique quantitative methods to investigate market, credit and operational risks.
  7. Design risk management strategies appropriate to the organisational context and risk appetite.

Topics:

  1. A Risk Management Framework
  2. Risk and the Balance Sheet
  3. Analysing Market Risk
  4. Governance, Ethics and Risk
  5. Credit Risk
  6. Operational Risk

Prerequisite Units:

Lecturers: 

Unit Guides:

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