Registry

Module Specifications

Archived Version 2019 - 2020

Module Title
Module Code
School
Online Module Resources
NFQ level	9	Credit Rating	7.5
Pre-requisite	None
Co-requisite	None
Compatibles	None
Incompatibles	None

Description

The purpose of this module is to provide the necessary tools to measure changing market, investment, credit and liquidity risks. Emphasis is on the quantitative aspects of Financial Risk Management such as Value-at-Risk and Expected Shortfall. Providing a core body of knowledge for independent risk management analysis, students taking this module will be well prepared for GARP's annual FRM exam.

Learning Outcomes

1. Apply a risk management perspective to generate value through risk management.
2. Measure market, credit, investment and liquidity risk in financial institutions.
3. Use quantitative methods to model the distribution of financial assets for risk measurement and management purposes.
4. Apply sophisticated Value-at-Risk and Expected Shortfall methodologies to a wide range of settings.
5. Construct a risk assessment as an input in capital allocation decisions.

*Type*	*Hours*	*Description*
Workload	Full-time hours per semester
Lecture	36	Formal lectures and workshops
Directed learning	61.5	Study of reference material: textbook, lecture slides and notes and relevant academic journal articles.
Assignment Completion	45	Preparation for in-class tests
Directed learning	45	Preparation for and of individual assignment project.
Total Workload: 187.5

All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml

Indicative Content and Learning Activities

The Rationale for Risk Management
Shareholders and firms perspective on risk management to generate value.

Market Risk Management
Stylized facts of asset returns: expected returns predictability, conditional volatility and conditional distributions. Models and risk measures: Value-at-Risk (VaR) and Expected Shortfall (ES).

Investment Risk Management
Portfolio Risk Management: performance, risk, risk-adjustments and risk budgeting. Hedge-Fund Risk Management: leverage, long- and short-positions, agency-, counterparty-, fraud- and regulatory-risk.

Credit Risk Management
Probability of Default, Recovery Rate and Credit Exposure: analysis and measure to investigate how institutions may reduce default probability and risk exposure while increasing recovery rate.

Liquidity Risk Management
Definition of Liquidity Risks. VaR adjustements for normal liquidity risk. Crisis liquidity risk.

Implementation of Risk Measures and Models
Monte Carlo Methods: Historical Simulations, Weighted Historical Simulations, Monte Carlo Simulations. Econometric Methods: ARMA, GARCH, Extreme Value Theory, Filtered Historical Simulations.

Evaluation of Risk Measured and Models
Backtesting of VaR and ES as a final diagnostic check on the aggregate risk model. Stresstesting: appropriate creation of extreme scenarios and assessment of the resulting output.

Assessment Breakdown
Continuous Assessment	%	Examination Weight	%

Type	Description	% of total	Assessment Date
Course Work Breakdown

Reassessment Requirement
Resit arrangements are explained by the following categories; 1 = A resit is available for all components of the module 2 = No resit is available for 100% continuous assessment module 3 = No resit is available for the continuous assessment component
Unavailable

Indicative Reading List

Jorion, P.: 2009, Financial Risk Manager Hamdbook, 5, Wiley Finance,
Christoffersen, P.F.: 2012, Elements of Financial Risk Management, 2, Academic Press,
GARP: 2019, Financial risk manager (FRM), Part 1, Foundations of Risk Management,
GARP: 2019, Financial risk manager (FRM), Part 1, Quantitative Analysis,
GARP: 2019, Financial risk manager (FRM), Part 1, Financial Markets and Products,
GARP: 2019, Financial risk manager (FRM), Part 1, Valuation and Risk Models,

Other Resources

None

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