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TOTC1121 — Quản trị rủi ro định lượng 2 | Chương trình đào tạo NEU

TOTC1121 — Quản trị rủi ro định lượng 2

Credits
3
Showing intake
K66-2024

Course description

The course Quantitative Risk Management 2 belongs to the block of specialized knowledge and is taught to third- and fourth-year students of the Mathematical Economics program. The course comprises 3 chapters, covering topics on the measurement and management of several types of risk: market risk, credit risk, operational risk, liquidity risk, and the issue of risk integration.

With the aim of providing learners with knowledge and skills approached according to international certifications, the teaching contents are selected based on 3 parts:

Market Risk Measurement and Management

Credit risk measurement and management

Operational and resiliency

in the international certification on financial risk management (Financial Risk Manager-FRM-level 2) of The Global Association of Risk Professionals (GARP).

In addition, the course equips learners with knowledge and skills in quantitative risk analysis using real-world data with the support of several software programs: Excel, R, Python, etc.

Course requirements

Regulations on eligibility to take the final examination

The attendance score must be 5 or higher (according to the general regulations of the University).

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

Regulations on class attendance

Students are responsible for attending all sessions in full.

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

Regulations on classroom conduct

The course is conducted on the principle of mutual respect between learners and lecturers;

Take complete notes and participate in answering questions;

Read the required materials in advance;

Complete the 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, and must absolutely not be used for any other purpose.

Regulations on submitting major assignments

Learners who do not submit individual/group assignments as required will receive a score of 0 (zero).

After the prescribed deadline, each day of late submission will result in a one-point deduction.

Learning outcomes and assessment

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

Lecturers

  • Dr. Hoang Duc Manh
  • Dr. Nguyen Thi Lien

Teaching plan

Week 1

Lecture 1. Lecturer: Course introduction Chapter 1. Measurement and management of market risk 1.1. The VaR model
References
Course syllabus [1] Chapters 1,2,3 (MRM and M) [2] Chapters 2, 5 [5] Chapters 4,5,6 [7] Chapter 8
Activities
Lecturer: Introduce the course, detailed syllabus, learning materials, reference materials, testing and assessment regulations, and guidance on the study plan. Lecture the theory according to the slide content Questioning/presenting scenarios Lecture the theory according to the slide content - Introduce examples in the slides - Provide guidance on reading the textbook and reference materials - Read the materials in advance, prepare data on stock prices and exchange rates - Assign homework, require students to review in advance the examples, questions, and exercises for Seminar 1 Students: In class: Listen to the lecture, study the learning materials Work on examples and exercises, answer questions/discuss scenarios At home: - Prepare exercises and data - Read the materials in advance

Week 2

Seminar 1. Chapter 1. Measurement and management of market risk 1.1. The VaR model
Activities
Lecturer - Review the knowledge - Provide guidance on organizing and preparing data - Practice computing the VaR methods with the collected data - Form the groups for the assignment Students: In class: Listen to the lecture, study the learning materials and data Do exercises and practice the computation methods, answer questions/discuss scenarios At home: - Prepare exercises and data - Read the materials in advance
Assessment
- Attendance check - Questions - Applied exercises

Week 3

Learning resources

  • Financial Risk Management-FRM — The Global Association of Risk Professionals, Part 2, 2020
  • Quantitative Risk Management:Concepts — Alexander J.McNeil, R.Frey and P.Embrechts, Techniques and Tools, 2005
  • Operational Risk toward Basel III-Best Practices and Issues in Modeling — GREG N. GREGORIOU, Management and Regulation, 2009
  • Credit risk Analytics: Measurement techniques — Bart. B, Daniel .R, Harald .S, Applications and Examples in SAS, 2016
  • Measuring Market Risk — Kevin Dowd, John Wiley & Sons, 2005
  • Risk Management and Financial Institution — John C.Hull, Third Edition, 2012
  • Financial Risk Forecasting: The theory and Practice of Forecasting Market Risk — Jon Danıelsson, with Implementation in R and Matlab, 2011
  • Excel, R, Python
Lecture 2. Chapter 1. Measurement and management of market risk 1.2. The ES model and spectral risk measures 1.3. Calculating the capital requirement
References
[1] Chapter 1 (MRM and M) [2] Chapters 2, 5 [5] Chapter 2 [7] Chapter 8
Activities
Lecturer: Introduce the course, detailed syllabus, learning materials, reference materials, testing and assessment regulations, and guidance on the study plan. Lecture the theory according to the slide content Questioning/presenting scenarios Lecture the theory according to the slide content - Introduce examples in the slides - Provide guidance on reading the textbook and reference materials - Assign homework, require students to review in advance the examples, questions, and exercises for Seminar 2 Students: In class: Listen to the lecture, study the learning materials Work on examples and exercises, answer questions/discuss scenarios At home: - Prepare exercises and data - Read the materials in advance

Week 4

Seminar 2. Chapter 1. Measurement and management of market risk 1.2. The ES model and spectral risk measures 1.3. Calculating the capital requirement
References
[1] Chapter 1 (MRM and M) [2] Chapters 2, 5 [5] Chapter 2 [7] Chapter 8
Activities
Lecturer - Review the knowledge - Provide guidance on organizing and preparing data - Practice computing the ES methods with the collected data - Form the groups for the assignment Students: In class: Listen to the lecture, study the learning materials and data Do exercises and practice the computation methods, answer questions/discuss scenarios At home: - Prepare exercises and data - Read the materials in advance
Assessment
- Attendance check - Questions - Applied exercises

Week 5

Lecture 3. Chapter 1. Measurement and management of market risk 1.4. Term structure model of interest rates 1.5. Volatility model
References
[1] Chapters 10-13 (MRM and M) [2] Chapters 14-15 (MRM and M)
Activities
Lecturer: Lecture the theory according to the slide content Questioning/presenting scenarios Lecture the theory according to the slide content - Introduce examples in the slides - Provide guidance on reading the textbook and reference materials - Assign homework, require students to review in advance the examples, questions, and exercises for Seminar 3 Students: In class: Listen to the lecture, study the learning materials Work on examples and exercises, answer questions/discuss scenarios At home: - Prepare exercises and data - Read the materials in advance

Week 6

Seminar 3. Chapter 1. Measurement and management of market risk 1.4. Term structure model of interest rates 1.5. Volatility model
References
[1] Chapters 10-13 (MRM and M) [2] Chapters 14-15 (MRM and M)
Activities
Lecturer - Review the knowledge - Provide guidance on organizing and preparing data - Practice computing the methods for forecasting interest rates and volatility with the collected data Students: In class: Listen to the lecture, study the learning materials and data Do exercises and practice the computation methods, answer questions/discuss scenarios At home: - Prepare exercises and data - Read the materials in advance
Assessment
- Attendance check - Questions - Applied exercises

Week 7

Lecture 4. Chapter 2. Measurement and management of credit risk 2.1. Methods in credit rating 2.2. Credit risk and credit derivatives
References
[1] Chapter 4 (CRM and M) [1] Chapter 5 (CRM and M) [2] Chapter 8
Activities
Lecturer: Lecture the theory according to the slide content Questioning/presenting scenarios Lecture the theory according to the slide content - Introduce examples in the slides - Provide guidance on reading the textbook and reference materials - Assign homework, require students to prepare the presentation for Seminar 4 Students: In class: Listen to the lecture, study the learning materials Work on examples and exercises, answer questions/discuss scenarios At home: - Prepare exercises and data - Read the materials in advance

Week 8

Seminar 4. Presentation of the group assignment
References
[1] Chapter 4 (CRM and M) [4] Chapters 3-11
Activities
The student groups report The lecturer and class members provide feedback
Assessment
Assessment according to the criteria: (i) Content prepared by the group; (ii) Presentation ability; (iii) Answering questions

Week 9

Lecture 5. Chapter 2. Measurement and management of credit risk 2.3. Estimating credit risk parameters 2.4. Calculating the capital requirement
References
[4] Chapters 3-11
Activities
Lecturer: Lecture the theory according to the slide content Questioning/presenting scenarios Lecture the theory according to the slide content - Introduce examples in the slides - Provide guidance on reading the textbook and reference materials - Assign homework, require students to review in advance the examples, questions, and exercises for Seminar 5 Students: In class: Listen to the lecture, study the learning materials Work on examples and exercises, answer questions/discuss scenarios At home: - Prepare exercises and data - Read the materials in advance

Week 10

Seminar 5. Chapter 2. Measurement and management of credit risk 2.3. Estimating credit risk parameters 2.4. Calculating the capital requirement
References
[4] Chapters 3-11
Activities
Lecturer - Review the knowledge - Provide guidance on organizing and preparing data - Practice computing the methods for forecasting interest rates and volatility with the collected data - Provide guidance on the individual assignment. Students: In class: Listen to the lecture, study the learning materials and data Do exercises and practice the computation methods, answer questions/discuss scenarios At home: - Prepare exercises and data - Read the materials in advance
Assessment
- Attendance check - Questions - Applied exercises

Week 11

Lecture 6. Chapter 2. Measurement and management of credit risk 2.5. Portfolio Credit Risk
References
[2] Chapter 10 [3] Chapters 1, 2 [6] Chapter 23
Activities
Lecturer: Lecture the theory according to the slide content Questioning/presenting scenarios Lecture the theory according to the slide content - Introduce examples in the slides - Provide guidance on reading the textbook and reference materials - Assign homework, require students to review in advance the examples, questions, and exercises for Seminar 6 Students: In class: Listen to the lecture, study the learning materials Work on examples and exercises, answer questions/discuss scenarios At home: - Prepare exercises and data - Read the materials in advance

Week 12

Seminar 6. Chapter 2. Measurement and management of credit risk 2.5. Portfolio Credit Risk
References
[2] Chapter 10 [3] Chapters 1, 2 [6] Chapter 23
Activities
Lecturer - Review the knowledge - Provide guidance on organizing and preparing data - Provide guidance on the individual assignment. - Practice computing the methods for forecasting interest rates and volatility with the collected data Students: In class: Listen to the lecture, study the learning materials and data Do exercises and practice the computation methods, answer questions/discuss scenarios At home: - Prepare exercises and data - Read the materials in advance
Assessment
- Attendance check - Questions - Applied exercises

Week 13

Lecture 7. Chapter 3. Integrated and operational risk management 3.1. Operational risk 3.2. Liquidity risk 3.3. Risk-adjusted return on capital 3.4. Economic capital framework and capital planning
References
[6] Chapter 24 [6] Chapter 26
Activities
Teaching: Lecture and explain the content of the chapter and lesson Questioning/presenting scenarios Assign homework Answer learners' questions In class: Listen to the lecture, study the learning materials Work on examples and exercises, answer questions/discuss scenarios At home: - Prepare exercises - Read the materials in advance

Week 14

Seminar 7. Chapter 3. Integrated and operational risk management 3.1. Operational risk 3.2. Liquidity risk 3.3. Risk-adjusted return on capital 3.4. Economic capital framework and capital planning Test / Submission of the individual assignment
Activities
Lecturer - Review the knowledge - Provide guidance on organizing and preparing data - Practice computing the methods for forecasting interest rates and volatility with the collected data Students: In class: Listen to the lecture, study the learning materials and data Do exercises and practice the computation methods, answer questions/discuss scenarios Collect the individual assignments At home: - Prepare exercises and data - Read the materials in advance and review
Assessment
- Attendance check - Questions - Applied exercises

Week 15

Seminar 8 - Review the course as a whole - Announce the results of the component assessments - Provide examination guidance and answer questions
Activities
Lecturer - Summarize and review the knowledge from the lectures - Systematize the types of questions for the final examination - Announce the 10% attendance score - Announce the major assignment score and answer questions - Announce the practical test score and address questions - Announce the 40% score - Go over some questions in the reference examination questions Students - Attend in full to receive information about the component scores - Review the entire course content and the reference questions
Assessment
- Attendance check - After the session, no inquiries about component scores will be addressed
Final examination
References
According to the guidance of the course syllabus
Activities
Essay examination
Assessment
See Appendix 1: examination matrix