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Subject data sheet

Risk Management

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Code: 2SZ74NDK15B
Name: Risk Management
Number of hours per semester: 22
Credits: 3
Fall/Spring: Spring
Language: English
Prerequisites: Corporate Finance 2BE52NBK01B, Statistics I. 4ST14NAK08B
Course type: specializaton core
Department: Nemzetközi Gazdálkodási Kutatóközpont Tanszék
A Course leader: Dr. Kacsirek László

Course description: This course covers the basics of corporate and banking risk management. Participants get an overview of the Basel Revised Framework and the basic concepts of several risk measures financial institutions are using. In the second part of the semester we concentrate on corporate risk management issues. Case studies and numerical examples help to deepen the theoretical knowledge of students.

Assessment, grading: 0 -50% fail
51-62 % pass
63-74% satisfactory
75-86% good
87-100% excellent

Aims and objectives and description of the course: This course offers an introduction to risks financial and non-financial institutions are facing. Participants will be able to identify risk factors in a given organization and to connect them to the theoretical issues of risk management literature.

Time of class: Thursday 16:10-17:30

Learning outcomes: - Understanding the concept of risk
- Knowledge of different risks facing corporations and banks
- Calculating different risk measures
- Knowledge of Basel Framework
- Understanding risk management technics

Assignments: Homework Due date
1. Citibank Hong Kong Case Study April 1. 16.00
2. Case Study in Investment Risk (Excel) April 22. 16.00
3. Corporate Risk Management Case Study May 13. 16.00
Presentation Due date
1. Summary of a given article March 18.

Homework and presentations are to send by email to nora.szucs@uni-corvinus.hu and
uploaded to Moodle strictly respecting the final deadline. Presentations are prepared in small
groups of 3-5 persons.

Bibliography:
Compulsory readings:

  • Brealey, R. - Myers, C.S. - Allen, F. (2008): Principles of Corporate Finance (Ch. 21-22, Ch. 27-28.), McGraw-Hill International Edition
  • Jorion, P. (2007): Value at Risk. The New Benchmark for Managing Financial Risk (Ch. 1-5, Ch.0., Ch. 13, Ch. 18-19) McGraw-Hill International Edition

Recommended readings:

  • BASEL II: THE REVISED FRAMEWORK
  • Creditmterics Technical Document
  • Danielsson, J. – Shin, H. S. [2002]: Endogenous Risk.
  • Brunnermeier, M. – Crocket, A. – Persaud, A. – Shin, H. S. [2009]: The Fundamental Principles
  • of Financial Regulation. Geneva Reports on the World Economy 11.
  • Brunnermeier, M. [2008]: Deciphering the Liquidity and Credit Crunch 2007-08
  • Purnanandam, A. K. – Ross, S. M. [2009]: Originate-to-Distribute Model and the Sub-Prime
  • Mortgage Crisis
  • Duffie, D. [2008]: Innovations in Credit Risk Transfer: Implications for Financial Stability
  • Berndt, A. – Gupta, A. [2009]: Moral hazard and adverse selection in the originate-to-distribute
  • model of bank credit.
  • Lublóy, Á. [2004]: DOMINO EFFECT IN THE HUNGARIAN INTERBANK MARKET
Compulsory readings:
BASEL II: THE REVISED FRAMEWORK
Creditmterics Technical Document
Danielsson, J. - Shin, H. S. [2002]: Endogenous Risk.
Brunnermeier, M. - Crocket, A. - Persaud, A. - Shin, H. S. [2009]: The Fundamental Principles
of Financial Regulation. Geneva Reports on the World Economy 11.
Brunnermeier, M. [2008]: Deciphering the Liquidity and Credit Crunch 2007-08
Purnanandam, A. K. - Ross, S. M. [2009]: Originate-to-Distribute Model and the Sub-Prime
Mortgage Crisis
Duffie, D. [2008]: Innovations in Credit Risk Transfer: Implications for Financial Stability
Berndt, A. - Gupta, A. [2009]: Moral hazard and adverse selection in the originate-to-distribute
model of bank credit.
Lublóy, Á. [2004]: DOMINO EFFECT IN THE HUNGARIAN INTERBANK MARKET
Recommended readings:
Brealey, R. - Myers, C.S. - Allen, F. (2008): Principles of Corporate Finance (Ch. 21-22, Ch. 27-28.), McGraw-Hill International Edition
Jorion, P. (2007): Value at Risk. The New Benchmark for Managing Financial Risk (Ch. 1-5, Ch.0., Ch. 13, Ch. 18-19) McGraw-Hill International Edition

 
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A "Tantárgyfelelős tanszék", a tantárgyfelelős neve a tantárgy oktatói és a kurzusinformációk automatikusan frissülnek a tanulmányi rendszerünk alapján.