TOTC1131 — Introduction to enterprise risk management

Introduction to enterprise risk management is a specialized course for 3rd year student majoring in Actuary. This course focuses on foundational concepts of risk management and how risk management can add value to an organization. It covers these broad knowledge points, a new proprietary book has been created exclusively for FRM candidates.

This course consists of 10 chapters. Chapters 1 and 2 explore different risk types, how risks can arise in an organization, and how firms manage financial risks. Chapter 3 describes the role of corporate governance in risk management, including the role of the board of directors and other areas of an organization. The concept of risk appetite and how it is translated into a risk appetite framework and communicated throughout an organization is presented as well in this chapter.

Chapter 4 presents an overview of credit risk transfer mechanisms, including credit derivatives and securitization, and discusses issues with the securitization of subprime mortgages.

Data is the lifeblood of many large financial organizations, and aggregating and reporting risk data has become increasingly important. Chapter 5 addresses this important topic. Chapter 6 introduces enterprise risk management (ERM), a common and important method for assessing and managing risk in an organizational context, and discusses its future trends.

Chapter 7 examines measures of financial risk and describes measurement frameworks such as the mean-variance approach, Value-at-Risk (VaR) and expected shortfall (ES). Chapter 8 covers VaR estimation approaches and applications. Moreover, the chapter 8 discusses the calculation and monitoring of volatility used in the VaR models.

Chapter 9 describes credit rating and presents a review of external and internal rating methodologies, along with their relative strengths and weaknesses. Chapter 10 introduces Learning from Financial Disasters and Anatomy of the Great Financial Crisis of 2007-2009 (discussion).

Requirements for Final Examination

Attendance score must be at least 5 (according to University regulations).

See Appendix 2, Rubric 1 for attendance evaluation.

Requirements for Class Attendance

Students are expected to attend at least 80% of all scheduled classes.

Any absence must be properly documented (e.g., medical certificate) and approved by the instructor.

Requirements for In-class Behaviour

Students are expected to arrive on time and remain until the end of the class.

Mobile phones and electronic devices should only be used for learning purposes.

Respectful and professional behaviour towards peers and instructors is mandator