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Risk Management: Full Lecture

Risk Management: Full Lecture Recommended texts – Jorion, P, Value at Risk: The New Benchmark for Managing Financial Risk, 3rd edition, McGraw-Hill, 2007 – Crouhy, M., Galai, D. & Mark, R. , The Essentials of Risk Managemen t, 2nd edition McGraw-Hill, 2015 • Referrence texts – Hull, J., 2015, Risk Management and Financial Institutions (Wiley Finance) – Dowd. K, 2005, Measuring Market Risk, Wiley Finance. – Stultz, R. 2002, Derivatives and Risk Management, South-Western. – Cuthbertson, K. & Nitzsche, D., 2001, Financial Engineering: Derivatives and Risk Management Lecture 1: Introduction Outline • Risk, Risk Management • Types of Risk • Traditional Measures of Risk • Market Risk Measurement • Credit Risk Measurement Definitions of Risk: the uncertainty or the deviation from an expected outcome. Financial risk Risk management The Risk Management Process Limitation of risk taking to ensure a constant risk profile by “mitigating” risk Risk controlling (Ex post) performance evaluation in order to link risk-management actions to the overall corporate goals. Types of financial risk Market risk Credit Risk Liquidity Risk Operational Risk Systemic Risk (not systematic risk) Model Risk The Evolution of Financial Instruments for Hedging Risks Importance of Risk Management Losses Attributed to Derivatives JP Morgan Chase: In 2012, loss of at least $5.8 billion from a bet on complex set of synthetic credit derivatives. – SocGen : 2008, Jerome Kerviel : loss greater than $7 billion

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