EP30.TOTC1120 — Quantitative risk management
Course description
This course introduces students to the quantitative foundations and practical tools of modern risk management. The course integrates market risk, credit risk, liquidity risk, and operational risk in one coherent framework. Students learn industry-standard risk measures (VaR, ES, stress testing, EVT, credit-VaR, counterparty risk), dependence modelling (correlations, copulas), and fixed-income and derivative risk measurement. Advanced topics include credit scoring, structured products (CDO tranching), counterparty exposure (CVA/DVA), and liquidity stress. Practical sessions emphasize Python/R implementation, FRM-style case studies, regulatory frameworks (Basel II/III/FRTB), and real data modelling.
Course requirements
Requirements for taking final /terminal exams
Students are allowed to take the final exam if their attendance score reaches 5 points or more (on the scale of 10).
Requirements for attending classes
Students are responsible for attending all classes. In case of absence from school due to force majeure reasons, sufficient and reasonable proofs must be provided. For each absence, 1 point will be deducted 1 point. Students who miss any classes more than 3 times, with or without reason, will be considered as failing to complete the course and have to re-register.
Students will be awarded points for constructive comments, these points are added to attendance points and group assignments.
Groups who do not submit the group work will receive a score of 0 (zero). Late submissions will be deducted for each day of late submission.
Requirements for in-class behaviour
The course is conducted on the principle of respecting learners and lecturers. Any behaviour that affects the teaching and learning process is strictly prohibited.
Students must come to class on time. Students who are late more than 10 minutes after class starts will not be allowed to attend the class. Do not make noise and affect others during the learning process.
Laptops and tablets are only used for the purpose of taking notes for and calculating for lectures and exercises, absolutely forbidden to use for other purposes.
Detailed content
The course content includes
- The Credit Decision and Credit Analyst
- Measuring Credit Risk
- Capital Structure in Banks
- Rating Assignment Methodologies
- Credit Risks and Credit Derivatives
- Spread Risk and Default Intensity Models
- Portfolio Credit Risk
- Structured Credit Risk
- Counterparty Risk
- Other risks
Lecturers
- Hoang Duc Manh
- Nguyen Thi Lien
- Vuong Van Yen
- Nguyen Quang Huy
Teaching plan
Week 1
Week 1
Week 3
Learning resources
- Credit Risk Measurement and Management book, garp.org/frm, 2022 — Credit Risk Measurement and Management book, garp.org/frm, 2022
- Liquidity and Treasury Risk Measurement and Management book, garp.org/frm, 2022 — Liquidity and Treasury Risk Measurement and Management book, garp.org/frm, 2022
- Valuation and risk model book, garp.org/frm, 2022 — Valuation and risk model book, garp.org/frm, 2022
- Operational Risk and Resiliency book, garp.org/frm, 2022 — Operational Risk and Resiliency book, garp.org/frm, 2022
- Giacomo De Laurentis, Renato Maino, and Luca Molteni, Developing, Validating and Using Internal Ratings: Methodologies and Case Studies (West Sussex, UK: John Wiley & Sons, 2010)
- Allan Malz, Financial Risk Management: Models, History, and Institutions (Hoboken, NJ: John Wiley & Sons, 2011)
- Jonathan Golin and Philippe Delhaise, The Bank Credit Analysis Handbook, 2nd Edition (Hoboken, NJ: John Wiley & Sons, 2013)
- Credit Risk Analytics: Measurement Techniques — Bart Baesens, Daniel Rösch,Harald Scheule, Applications, 2016
- Lecture notes and slides