|
נקודות זכות באוניברסיטה העברית:
2
תואר:
מוסמך
היחידה האקדמית שאחראית על הקורס:
מנהל עסקים
סמסטר:
סמסטר א'
שפת ההוראה:
אנגלית
קמפוס:
הר הצופים
מורה אחראי על הקורס (רכז):
ד"ר יצחק הורוביץ
שעות קבלה של רכז הקורס:
מורי הקורס:
תאור כללי של הקורס:
This lecture series (to be understood in a sequential order – meaning that the pre-requisite of taking Financial Risk Management II ist o have first taken and passed Financial Risk Management I) aims to providing graduate students with an overview of methods, models, systems and techniques used by leading financial institutions (and some large corporates in their treasury operations) to quantify, monitor, limit and manage financial risks stemming from treasury and financal activities.
While fundamentally targeting graduate students majoring in finance or financial economics, this course is open to all graduate business school students aiming to achieving an MBA certification.
מטרות הקורס:
תוצרי למידה :
בסיומו של קורס זה, סטודנטים יהיו מסוגלים:
-understand methods, models, systems and techniques used by leading financial institutions (and some large corporates in their treasury operations) to quantify, monitor, limit and manage financial risks stemming from treasury and financal activities.
דרישות נוכחות (%):
שיטת ההוראה בקורס:
רשימת נושאים / תכנית הלימודים בקורס:
L1. Intro to Risk Management
- What is financial risk?
- Case studies of famous corporate collapses due to financial risk mismanagement
- Discussion of the financial crisis of 2008-2009 and the root causes
- What will we learn about in this lecture series?
L2. Taxonomy of Financial Risks – main risk categories: Credit, Market, Operational, Liquidity, Business Risks, Reputational Risks
- Components of Credit risk
- Meaning of Default
- Meaning of Credit Migration
- Ingredients of Credit risk: PD, EE, LGD/Recovery
L3. Estimation of Credit Risk Parameters
- Actuarial Methods
- Market Induced Methods
Fixed Income Markets
Equity Markets
- Calculation of Expected Losses due to Credit Risk
- Credit Migration Matrices - Properties
L4. Unexpected Losses and Loss Distribution Estimation (1)
- Credit Portfolio Models
- Credit Metrics
- Moody´s KMV
L5. Unexpected Losses and Loss Distribution Estimation (2)
- CreditPortfolioView („McKinsey“)
- Creditrisk+ („Credit Suisse“)
- Factor Models
- Intensity („Reduced Form“) Models
- Discussion: which model is best?
Home Project: Internal Rating Model/ Scorecard
L6. Credit Derivatives and their Use in Finance
- Credit Default Swaps
o Single Name
o Baskets
- Spread Forwards
- Spread Options
L7. Pricing of CDS
L8. Applications of Credit Derivatives in Business – Case Studies
L9. Credit Structured Products and Applications
- Credit Linked Notes
- Total Rate of Return Swaps
- CDOs and variants
- Applications and mis-management stories stemming from the credit crisis 2008-2010
Home Project: Hedging Credit risk via Credit Derivatives – Case Studies
L10. Regulation of Credit Risk in Banks – The Basel Accord (focus on Credit)
L11. Counterparty risk from over the counter contracts and structured financial products
- Measurement of Expected Exposure
- Case Study – Potential Future Exposure of on Interest Rate Swap
- Risk Mitigation Techniques:
o Netting
o Margining
o Collateral (ISDA CSA Provisions)
o Re-couponing
o Credit trigger Provisions
o Other Provisions
L12. Regualtory Capital for Counterparty Risk
Credit Risk Limit Systems and Organizational Issues
Credit Securitization - Intro: Value Added of Securitized Receivables and Dangers
L13. Case Studies in Securitized Products – intro to Copulas
Final Exam
חומר חובה לקריאה:
Aside from the notes from class lectures, students will be aided by the following reading materials:
• Value at Risk – The New Benchmark for Managing Financial Risk by Phillippe Jorion, third edition, Mc Graw-Hill, ISBN-13:978-0-07-146495-6
• Risk Management in Banking by Joël Bessis, , second edition, John Wiley & Sons, ISBN 0-471-499777-3 (cloth) and 0-471-8936-6 (Paper)
• Financial Risk Manager Handbook FRM®PARTI/ PART II by Phillippe Jorion, John Wiley & Sons, ISBN 978-0-470-90401-5 (paper/ online)
חומר לקריאה נוספת:
הערכת הקורס - הרכב הציון הסופי :
מבחן מסכם בכתב/בחינה בעל פה 60 %
הרצאה0 %
השתתפות 10 %
הגשת עבודה 30 %
הגשת תרגילים 0 %
הגשת דו"חות 0 %
פרויקט מחקר 0 %
בחנים 0 %
אחר 0 %
מידע נוסף / הערות:
Home Projects:
Each course will encompas two home assignments to be completed in groups of 3 or 4 students. The students need to deliver the project output before the end of the semester. The grade will be assigned to the project output and further distributed to each student: the students who participate in the project will receive the same grade as the project team, which will count via a formula (see following point) tot he student´s final grade.
The final grade will be determined as a combination of the following components:
• Final Exam (60%)
• 2 Home Projects (essays and presentations in MS Word, MS Powerpoint and calculation sheets in MS Excel) (30%)
• Class Participation (10%)
|
