Risk Management II (on-line)

Risk Management II (on-line)
MÁSTER UNIVERSITARIO EN BANCA Y
FINANZAS (Finance & Banking)
Universidad de Alcalá
Curso Académico 2015/16
GUÍA DOCENTE
Nombre de la asignatura:
Código:
Risk Management II (on-line)
201564
Departamento y Área de
Conocimiento:
MÁSTER UNIVERSITARIO EN BANCA Y
FINANZAS (Finance & Banking)
Departamento de Economía y Dirección de
Empresas
Carácter:
Créditos ECTS:
Virtual
3
Curso y cuatrimestre:
1º
Profesorado:
Pilar Requena Cabezuelo
Profesor Titular UAH
Horario de Tutoría:
16:30 – 17:30 h.
Idioma en el que se imparte:
Inglés
Titulación en la que se imparte:
1. PRESENTACIÓN
Risk management is becoming more and more important everyday. Nowadays,
especially in the scenario of crisis that we are going through, risk management is
playing a key role in finance. Among the different types of risk, we can highlight the
ones related to Credit Risk and Market Risk. In this subject we will introduce both
types, as well as the main approaches in measuring them.
Prerrequisitos y Recomendaciones (si es pertinente)
2. COMPETENCIAS
Competencias genéricas:
1. Is to provide an introduction to some fundamental topics about Market and
Credit risk and specially the main models to measure them. Students should
be able to understand those factors of risk and deal with the appropriate tools
–such as VaR and others- to measure it in practice.
2. Understand the risk concept in financial institutions.
3. Acquire the skills of risk analysis.
4. Introduce students to the concepts and terminology of Risk Management.
5. Risk Management is the activity of recognizing risks, risk evaluation and the
development of strategies to manage and mitigate risks using management
tools. The strategies include the transfer of risks to the other party, risk
hedging, reducing the negative effect of risk and accepting certain
consequences of particular risks.
Competencias específicas:
1. Know the main risk management tools.
3. CONTENIDOS
Total de clases,
créditos u horas
Bloques de contenido (se pueden especificar los
temas si se considera necesario)


Market risk:
-
Introduction to Market Risk
-
Value-at-Risk introduction

4h

4h

4h

4h
Market risk:
-


Measuring Value-at-Risk: fix income
and full valuation
Credit risk:
-
Introduction to Credit Risk
-
Reduced form models
Credit risk:
-
Structured models
-
Measuring Credit risk
Cronograma (Optativo)
Semana /
Sesión
Contenido

01ª
02ª
03ª

Market risk:
-
Introduction to Market Risk
-
Value-at-Risk introduction
Market risk:
-

Measuring Value-at-Risk: fix income and full valuation
Credit risk:

04ª
-
Introduction to Credit Risk
-
Reduced form models
Credit risk:
-
Structured models
-
Measuring Credit risk
4. METODOLOGÍAS DE ENSEÑANZA-APRENDIZAJE.-ACTIVIDADES
FORMATIVAS
4.1. Distribución de créditos(especificar en horas)
Número de horas presenciales:
16
Número de horas del trabajo
propio del estudiante:
24
Total horas
40
4.2. Estrategias metodológicas, materiales y recursos didácticos
For every week the instructor will release a
main material about the topic which should
be taken as the basic reference for the
class. The instructor may also give some
other extra material if necessary.
This material should be read carefully
since the students will be asked to do
some activities related with the topic, as for
example searching information, giving
opinions or write some programs in Excel.
5. EVALUACIÓN: Procedimientos, criterios de evaluación y de calificación1
The assessment of the subject will consist in 2 assignments, which should be
submitted to the professor before the deadline. The assignments will be based on
theoretical or practical questions about the readings.
1
Es importante señalar los procedimientos de evaluación: por ejemplo evaluación continua, final,
autoevaluación, co-evaluación. Instrumentos y evidencias: trabajos, actividades. Criterios o
indicadores que se van a valorar en relación a las competencias: dominio de conocimientos
conceptuales, aplicación, transferencia conocimientos. Para el sistema de calificación hay que
recordar la Normativa del Consejo de Gobierno del 16 de Julio de 2009: la calificación de la
evaluación continua representará, al menos, el 60%. Se puede elevar este % en la guía.
The final grade will be the arithmetic mean of the 2 grades of each of the
assignments. If any of the assignments is missed the student will be graded with a
zero on that particular assignment.
1. Attendance: 5%
2. Participation: 40%
3. Objective Test: 25%
4. Final Exam: 30%.
6. BIBLIOGRAFÍA
Bibliografía Básica
Bibliografía Complementaria (optativo)