Risk Theory, Risk Management

Risk Theory, Risk Management

Course description:

The course aims to develop students' analytical and research skills in the field of economics and finance. During the course students study the theory of optimal decision-making under uncertainty, the quantitative methods of risk evaluation, the methods of measuring market risk and credit risk.

Instructor: Silaev, Andrey M.

Credit points: 3,0

Faculty: Faculty of Economics

Language: Russian

Level: Master

Academic hours: 108

Syllabus

1.  Problems of measuring risk

2.  Expected utility theory and its applications to choice problems under uncertainty

3.  Using of financial instruments for hedging

4.  Measurement of market risk, Value at Risk

5.  General characteristics and measurement of credit risk

Readings

Hull J. C. Risk Management and Financial Institutions. – Pearson Education, 2007. Hull J. C. Options, futures and other derivatives. 7 ed. – Pearson Prentice Hall, 2009. Jorion, P. Value at risk. McGraw-Hill, 1997. Jorion P. Financial Risk Manager Handbook. McGraw-Hill, 2003. Mas-Colell, A., Whinston, M. D., Green, J. R. Microeconomic theory. – Oxford Univ. Press. 1995. McDonald R. L. Derivatives Markets. – Pearson Education, 2006. Crouhy M., Galai D., Mark R. Risk Management – McGraw-Hill, 2001.