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NHTM1114 — Quản trị rủi ro | Chương trình đào tạo NEU

NHTM1114 — Quản trị rủi ro

Credits
3
Showing intake
K66-2024

Course description

Risk is an important part of financial decisions. Along with the rapid development of financial markets, types of risk are becoming increasingly complex and interrelated with one another. Once a risk materializes, it causes serious economic consequences not only for individuals and organizations but also spreads throughout the entire economy. This reality requires managers, investors, and analysts to constantly consider and assess risk in all of their decisions. This course provides learners with fundamental concepts of building models, measuring, and managing financial risks within legal regulatory frameworks. The topics covered in the course include market risk (VaR and Expected Shortfall), credit risk, liquidity risk, and operational risk. In particular, this course incorporates real-world case studies, simulation modeling, and skills in data processing and model building.

Course requirements

Regulations on eligibility to sit the end-of-course examination

The attendance score must be 5 or higher (in accordance with the University's general regulations)

Method of assessing the attendance score: see Appendix 2, Rubrics 1.

Regulations on class attendance

Students are responsible for attending all class sessions in full.

In the event of an absence due to force majeure, students must take the initiative to acquire the knowledge through the materials provided by the lecturer and other required readings.

Regulations on classroom conduct

The course is conducted on the principle of respect for both learners and instructors;

Take complete notes and participate in answering questions;

Read the required materials in advance;

Complete homework assignments;

Do not make noise or disturb others, and do not eat during class;

Laptops, tablets, and mobile phones may only be used for the purpose of taking lecture notes and performing calculations for study purposes, and must absolutely not be used for any other purpose.

Regulations on submission of major assignments

Learners who fail to submit individual / group assignments as required will receive a score of 0 (zero).

After the prescribed deadline, late submissions will be deducted one point for each day late.

11. SYLLABUS ADJUSTMENT TIME

June 2024

APPENDIX

Appendix 1. EXAMINATION MATRIX

Weight in the course grade: 50%

Format: Essay

Duration: 90 minutes

Structure of the examination: 3 parts:

+ Part 1 (3 points): 2 short essay questions

+ Part 2 (2 points): 2 small exercises

Appendix 2. THE RUBRICS

Rubrics 1. Assessment of the attendance score

Weight in the course grade: 10%

* Note: 10+ : may be considered for bonus points added to the 40% assessment score when the attendance score is 10.

Criteria for assessing participation in class discussions

CLOs of the attendance assessment

Rubrics 2. Assessment of the group presentation

Weight: 20% (the first component of the 40% assessment score)

Assessment based on the results of the group presentation

Rubrics 3. Assessment of the midterm test

Weight: 20% (the second component of the 40% assessment score)

Assessment based on the results of the midterm test, completed individually

Rubrics 4. Assessment of the final examination

Learning outcomes and assessment

The training management system automatically assesses the degree of CLO attainment according to the University's general algorithm. The course learning outcomes are assessed by students and the University after the end-of-course examination.

Lecturers

  • Assoc. Prof. Le Thanh Tam
  • Assoc. Prof. Do Hoai Linh
  • Dr. Khuc The Anh
  • Le Phong Chau M.Sc.
  • Dr. Tran Phuoc Huy
  • Assoc. Prof. Phung Thanh Quang
  • Nguyen Thi Ngoc Diep M.Sc.

Teaching plan

Week 1

Introduction, overview of the course, the logic of the course, and the role and position of the course within the curriculum Chapter 1: Overview of financial risk and financial institutions 1.1 Overview of financial risk 1.1.1 The relationship between risk and return 1.1.2 Classification of financial risks 1.1.3 The role and functions of financial risk management 1.1.4 The financial risk management process 1.2. Risk management in financial institutions 1.2.1 Commercial banks 1.2.2 Depository institutions 1.2.3 Insurance companies 1.2.4 Securities firms and investment banks 1.2.5 Mutual funds and hedge funds
References
Course syllabus Book [1], Chapter 1
Activities
Introduce the course Set out study requirements Guide on finding/reading materials Guide on teamwork Divide working groups
Assessment
Level of participation Quality of answers

Week 2

Chapter 1: Overview of financial risk and financial institutions
References
Book [1], Chapter 1
Activities
Students read the lesson before coming to class The lecturer teaches the theory
Assessment
Level of participation Quality of answers in class

Week 3

Chapter 2: Overview of risk measurement models 2.1 Introduction to risk measurement 2.1.1. The role of risk measurement 2.1.2. Some fundamental issues in risk measurement 2.1.3. Overview of risk measurement methods 2.2. Risk measurement models 2.2.1. Loss exposure model 2.2.2. Probability measurement model 2.2.3. Time-series data forecasting analysis model 2.3. Qualitative scale method 2.4. The issue of data for the measurement process

Learning resources

  • Lectures on Risk Management — Phan Thi Thu Ha, Le Thanh Tam, Hoang Duc Manh, National Economics University Publishing House, 2018
  • Commercial Banking Textbook — Phan Thi Thu Ha, National Economics University Publishing House, 2023
  • Financial Institutions Management: A Risk Management Approach 6th Edition — Anthony Saunders, Marcia Millon Cornett, McGraw-Hill, 2007
  • Risk Management in Banking — Joel Bessis, Second Edition, 2011
  • Risk Management and Financial Institution — John C.Hull, Third Edition, 2012
References
Book [1], Chapter 2
Activities
Students read the lesson before coming to class The lecturer teaches the theory Discussion of the cases and questions posed by the lecturer
Assessment
Level of participation Level of interaction Quality of answers in class

Week 5

Chapter 3. Overview of interest rate risk 3.1 Overview of interest rate risk 3.1.1 Concept of interest rate risk 3.1.2 Impact of interest rate changes 3.1.3 The necessity of measuring interest rate risk 3.2. Measuring interest rate risk 3.2.1 Models for forecasting changes in interest rates 3.2.2 Models for measuring interest rate risk
References
Book [1], Chapter 3 Book [2], Chapter 11
Activities
Students read the lesson before coming to class The lecturer teaches the theory Discussion of the cases and questions posed by the lecturer
Assessment
Level of participation Level of interaction Quality of answers in class

Week 7

Chapter 4. Overview of exchange rate risk 4.1 Overview of exchange rate risk 4.2. Content of exchange rate risk management 4.2.1. Identifying exchange rate risk 4.2.2. The concept of foreign currency position (Basel 2) 4.2.3. Exchange rate risk management model 4.3. Measuring exchange rate risk 4.3.1. Measuring the level of loss 4.3.2. Forecasting volatility 4.4. Exchange rate risk management instruments 4.4.1. Forward contracts (Forward / Non deliverable Forward) 4.4.2. Options contracts (Options Contract) 4.4.3. Futures contracts (Future Contract) 4.4.4. Swap contracts (Swap Contract) 4.4.5. Use of the money market. 4.5. Monitoring/controlling exchange rate risk 4.5.1. Position limits 4.5.2. Stop loss limits. 4.5.3 VaR limits 4.5.4. Limits based on stress testing. 4.5.6 Other monitoring measures.
References
Book [1], Chapter 4 Book [2], Chapter 10
Activities
Students read the lesson before coming to class The lecturer teaches the theory Discussion of the cases and questions posed by the lecturer
Assessment
Level of participation Level of interaction Quality of answers in class

Week 9

Chapter 5. Overview of credit risk 5.1. Overview of credit risk management 5.1.1. Credit risk 5.1.2. Credit risk management 5.2. Measuring credit risk 5.2.1 Objectives of credit risk measurement 5.2.2 Methods of credit risk measurement 5.2.3 Some credit risk measurement models
References
Book [1], Chapter 5 Book [2], Chapter 9
Activities
Students read the lesson before coming to class The lecturer teaches the theory Discussion of the cases and questions posed by the lecturer
Assessment
Level of participation Level of interaction Quality of answers in class

Week 14

Review of qualitative and quantitative methods
Activities
Students read the lesson before coming to class The lecturer teaches the theory Discussion of the cases and questions posed by the lecturer
Assessment
Level of participation Level of interaction Quality of answers in class

Week 16

Final examination
Activities
Students take the examination according to the schedule
Assessment
Assessment sheet, based on the examination paper