Risk Analyses and Management - PKU · Lionel XAVIER Page 5 Kickstart Module Syllabus and Outline...

Risk Analyses and Management

Lionel XAVIER | FE5107

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Course Description

• The course follows the major strategic areas of risk analysis: enterprise-wide, credit and market. It covers a range of essential financial risk concepts and practice to allow students to be well-versed in an increasingly connected risk universe. The course also looks at new developments in the field to keep future professionals up-to-date in a fast-paced financial industry.

• Location : • PHBS Campus – Room 229

• Lectures: • Fri 6:30pm-9:30pm• Sat 9am-12:00pm• Sat 1pm-4pm

• Prerequisites:• Previous exposure to

accounting, finance, economics and statistics is recommended

• Credits:• 4 module credits

Lionel XAVIER Page 2

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Module Syllabus and Outline Autumn 2017

Session Topic Content Objective

Fri 10 and Sat 11 November, 2017

Integrated RiskThe 2007 credit crisis and the post-crisis era, scenario analytics, enterprise risk management, risk-adjusted returns

Define different types of risk,articulate the key trends in risk management today

Fri 24 and Sat 25 November, 2017

Credit RiskActuarial and market prices default risk measurement, credit risk analysis, counterparty risk

Build a structured understanding of the credit risk measure and assessment process

Fri 8 and Sat 9 December, 2017

Market RiskSources of market risk, volatility and risk correlations, VaR, model-building, interest rate risk

Grasp fundamentals and limitations of current applications

Fri 15 and Sat 16 December, 2017

Perspectives on Risk

Major new developments in Risk: IFRS9, FRTB, Liquidity Risk

Develop a forward thinking of the topic, display teamwork and verbal skillset

Final Exam17 January, 2018

Full syllabus50% Multiple Choice Questions and Numerical Problem; 50% Essay Question (more details in p. 10)

Consolidate knowledge on risk management, demonstrate critical thinking

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Class Structure


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• The class flows in:• Introduction to core theories and

concepts• Practice slides for illustration or problem-

solving• Class discussion to clarify content or to

allow benchmarking with the real world• Individual quizzes (graded) that can be

MCQ or numerical problems • One group assignment in the end of the

module to present in class in the last session

• The slides of each class lecture will be made available in .pdf format through NUSNET after each session

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Instruction Style


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Lecture

Case Study / Snapshot

Practice Exercise

MCQ Quizz

Assignment

• John C. Hull, Risk Management and Financial Institutions, 4th Edition (2015), Wiley

• Reference to other supporting articles will be provided in the course as we go along the class

• Those are not mandatory readings and only for your interest – you can brose the web to search for them.

• If you find them hard to find, I will do my best to circulate them upon request

Reading

• Pencils or Pens (we still use those….), a Financial Calculator and some sheet of papers to scribble along for Individual Quizzes

• Laptop with MS Office Suite (Excel and Power Point) for the Group Assignment

• Access to NUSNET / RMIV76 for exchange by email

• No web and software tools, social media or Labs

• Own student groups are encouraged to cross-share efforts and learnings

• Your undivided attention….

Tools

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Required Materials


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• Continuous assessment:• Quizz in the last 20 minutes of each

of lectures #2 and #3• Group Presentation in the last 3

hours of the lecture #4

• Final Exam on 17 January 2018• Class participation• All assessments are open source,

open book and you can bring in as many supporting materials as required

• Quizzes and Final Exam are hardcopy submissions

20

20

10

50

Percent of Grade

Weekly Quizzes Group Assignment

Class Participation Final examination

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Assessment Criteria


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Practice Quizzes

• 2 quizzes at the end of session 2 (Saturday 25 November) and session 3 (Saturday 9 December):

• The first quiz covers all topics in lecture for Credit Risk (session 2)

• The second quiz covers all topics in lecture for Market Risk (session 3)

• Each quiz will have 12 questions and problems to solve every time in 35 minutes sharp:

• Each question / problem should take on average 2-3 minutes to answer

• 8-10 multiple choice questions and 2-4 numerical problems

• The questions / problems and answer sheets to fill will be provided to you on hard copy

• Have your pencils, calculators and writing papers handy

• Those are open book and open source quizzes but beware of the clock

• Answers will be provided immediately after the quiz

• Correction and scores will be returned at the start of the following session


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Group Assignment

• Date: Saturday 16 December – 1:00pm to 4:00pm

• 6 presentations of 25 minutes each:

• Group of 5-6 students and at least 3 students will be speaking

• 20 minutes of formal presentations by the Group

• 5 minutes of Q&As from students and lecturer to test depth of understanding

• Form a group, elect a group representative and get her / him to send me:

• the Group members (no need to send me one if you are less than 4 please)

• the top 3 topics in descending order of priority you have elected from the shortlist

• Response need to be received before 27 November; 7:00PM

• Work as a group, plan for questions / learning outcomes, split the work and discuss the conclusions

• Do not boil the ocean – good research should not take the work per individual beyond 6-8 hours

• Particular attention will be paid to genuine group work and to critical thinking – copy paste and free-riding will be easy to identify and will leave an impact on your final grade

• You can reach to me at the end of each tutorial session (Friday 6:00PM) if any burning question on the Group assignment


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Shortlist / First come first served

1. What is BCBS239 and how is it changing risk aggregation and reporting?

2. How has counterparty exposure stress testing changed since 2007?

3. Bitcoin: viable currency or bubble?

4. Investment risk: how would due diligence a fund before potential investment?

5. Rating agencies: how does a rating agency rate a corporate risk today?

6. How does Retail Credit Risk Management uses credit scoring?

7. In operational risk, why is external loss data important?

8. What is repo financing and the risks associated to it?

9. Are there any risk from Central Clearing Counterparties (CCPs)?

10. Devise for a bank’s stress testing committee what are the top 5 global market financial risks as of 2017.

11. How to measure country risk?

12. What does negative interest rates in European central banks imply for risk management?

13. What is shadow banking and what risk does it bring to the global financial markets?

14. Basel 4: pros and cons.

15. How can VaR be used by investment funds to build their portfolio? What is surplus at risk?

16. How to compute illiquidity premium for equities traded in emerging markets?

17. What are the sources of model risk and how can it be mitigated?

18. How can risks from algorythmic trading be addressed?

PLEASE FORM YOUR GROUP AND PICK UP A SUBJECT


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Final Exam

• Date and duration: 17 January 2018, 3:30pm-6:00pm; Venue to be confirmed later

• Covers the entire curriculum (4 sessions) lectured but not Group assignment topics

• 50% of time / grade for multiple choice questions and numerical problem solving handed; questions and answer sheets to fill will be handed

• 50% of time / grade for a written essay on one question out of 3 optional subjects; essay will be handwritten (usually should not be more than 3-6 pages long)


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Class Rules

• What about the team work / Study Groups:

• Pick your own groups and create team of 5-6 students

• If you have trouble getting picked, I’m happy to help

• A common grade will be given to all members of the team regardless of individual contribution so act fairly; but those who speak will get a participation bonus

• What about graded quizzes:

• Those are individual, not team work.

• Consultation, talk, texting or telepathy with others in and out the classroom is a NO NO

• What about class attendance:

• It is highly recommended that you be there and on time

• If you miss one class only, please get in touch with me

• No mobile phone obviously (that WeChat message can wait the end of the class…)

• (Smart) participation is a plus for your grade (and it is also the case in the business world)

• Other questions:

• Students may apply for special consideration in circumstances that may adversely impact students’ performance during the final exam or continuous assessments. Please liaise with PKU-PHBS Administration Office for guidelines.


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Contact Points

• How to contact me

• NUSNET E-mail:

[email protected]

• Alternate Contact in PHBS Campus:

April Cheng / [email protected]



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Tutorial (Optional)

• Every Friday before class, you can find me:

• Dates: 24 November, 8 December, 15 December

• Time: between 4:00 to 6:00 pm

• Place: Room 315 of PHBS campus from 4:00 to 6:00pm

• Format: can be clarifications on parts of the prior lecture or broader side questions related to the course; if more than 2 students, this can be a briefer format of lecture. If you are interested in practicing for parts of the course, given enough time, we can run through mock-up exercises for training.



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Questions?

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Risk Analyses and Management - PKU · Lionel XAVIER Page 5 Kickstart Module Syllabus and Outline...

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