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MFE1103 — Operational Risk Measurement and Managemet | Chương trình đào tạo NEU

MFE1103 — Operational Risk Measurement and Managemet

Credits
3
Self-study hours
90
Showing intake
K68-2026

Course description

This course is specially designed for the students who are interested in operational risk management adopted by the financial services industry. The course is designed to cover the contents of the FRM certification (Operational Risk and Resilience -Exam part II). The students are able to obtain practical knowledge and skills for implementing operational risk management in a financial institution.

The course uses various real-life examples for demonstration in order to give the students firsthand experience of how the practitioners implement operational risk management in a financial institution.

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.

Lecturers

  • Dr. Dinh Thi Hong Theu
  • Dr. Nguyen Thi Lien

Teaching plan

Week 1

Greeting and course introduction, logic, role in program
References
Syllabus
Activities
Lectures: basic knowledge of pricing and analysing financial assets is discussed using PowerPoint slides. In-class discussions: students are encouraged to raise questions about the subject, what and how they would like to learn.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Appendix 2, Rubric 1 Method: Attendance Check & Work Assignment

Week 1

Chapter 1: Introduction to Operational Risk Management. Definition and scope of operational risk The drivers of operational risk management Regulatory environment surrounding operational risk Operational Risk Management Framework
References
Operational Risk and Resilience book, garp.org/frm, 2024, Chapter 1
Activities
Lectures: basic knowledge of overview of operational risk management is discussed using slides, provide Homework 1. In-class discussions: students are encouraged to raise questions, participate in discussions, and share ideas with their peers. These discussions help students formulate their own opinions on controversial issues. In-class exercises: basic concepts and techniques are illustrated using examples. To follow the lectures closely, students are encouraged to work along with the instructor on these exercises.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Appendix 2, Rubric 1 Method: Attendance Check

Week 3

Learning resources

  • 1. Course Books
  • Operational Risk and Resilience book, garp.org/frm, 2024
  • 2. References
  • Valuation and risk model book, garp.org/frm, 2024
Chapter 2: Operational Risk Governance. Prudential regulation of operational risk Operational risk governance Risk appetite for operational risk Risk culture
References
Operational Risk and Resilience book, garp.org/frm, 2024, Chapter 7
Activities
Lectures: knowledge of operational risk governance is discussed using slides, correct Homeowork In-class exercises: basic concepts and techniques are illustrated using examples. To follow the lectures closely, students are encouraged to work along with the instructor on these exercises. In-class discussions: students are encouraged to raise questions, participate in discussions, and share ideas with their peers. These discussions help students formulate their own opinions on controversial issues.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Appendix 2, Rubric 1 Method: Attendance Check & Work Assignment

Week 5

Chapter 3: Risk Identification and Assessment. Risk identification Tools and methods for risk identification Operational risk taxonomy Inventory of operational risks Operational risk events Qualitative risk assessment Quantitative risk assessment: factor models Operational risk modeling and capital Case study.
References
Operational Risk and Resilience book, garp.org/frm, 2024, Chapters 8, 10, 11.
Activities
Lectures: knowledge of risk identification and assessment is discussed using slides, correct Homeowork In-class exercises: basic concepts and techniques are illustrated using examples. To follow the lectures closely, students are encouraged to work along with the instructor on these exercises. In-class discussions: students are encouraged to raise questions, participate in discussions, and share ideas with their peers. These discussions help students formulate their own opinions on controversial issues.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Appendix 2, Rubric 1 Method: Attendance Check & Work Assignment

Week 8

Review Midterm Test Assignment Giving
Assessment
Criteria: Calculation problems, Discussion questions Tools: Appendix 2, Rubric 2 Method: Written Exam

Week 9

Chapter 4: Risk Mitigation. The choice of risk mitigation Internal controls: types and testing Risk mitigation through process design New product and new initiative approval process Mitigating measures and resilience Risk transfer Management of reputational damage
References
Operational Risk and Resilience book, garp.org/frm, 2024, Chapters 4
Activities
Lectures: knowledge of risk mitigation is discussed using slides, correct Homeowork In-class exercises: basic concepts and techniques are illustrated using examples. To follow the lectures closely, students are encouraged to work along with the instructor on these exercises. In-class discussions: students are encouraged to raise questions, participate in discussions, and share ideas with their peers. These discussions help students formulate their own opinions on controversial issues.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Appendix 2, Rubric 1 Method: Attendance Check & Work Assignment

Week 11

Chapter 5 Risk Monitoring & Reporting. Audiences of operational risk reporting Reporting on non-financial risks internally External risk reporting
References
Operational Risk and Resilience book, garp.org/frm, 2024, Chapters 5
Activities
Lectures: knowledge of analysing and valuing equities is discussed using slides, correct Homeowork In-class exercises: basic concepts and techniques are illustrated using examples. To follow the lectures closely, students are encouraged to work along with the instructor on these exercises. In-class discussions: students are encouraged to raise questions, participate in discussions, and share ideas with their peers. These discussions help students formulate their own opinions on controversial issues.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Appendix 2, Rubric 1 Method: Attendance Check & Work Assignment

Week 12

Chapter 6 Integrated Risk Management. ERM structure. ERM and financial measures of risk Implementing ERM
References
Operational Risk and Resilience book, garp.org/frm, 2024, Chapters 6
Activities
Lectures: knowledge of Integrated risk management is discussed using slides, correct Homeowork In-class exercises: basic concepts and techniques are illustrated using examples. To follow the lectures closely, students are encouraged to work along with the instructor on these exercises. In-class discussions: students are encouraged to raise questions, participate in discussions, and share ideas with their peers. These discussions help students formulate their own opinions on controversial issues.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Appendix 2, Rubric 1 Method: Attendance Check & Work Assignment

Week 13

Chapter 7. Stress Testing Banks Stress testing in the literature Executing the stress scenario: losses and revenues Stress testing disclosure
References
Operational Risk and Resilience book, garp.org/frm, 2024, Chapters 9, 12
Activities
Lectures: knowledge of stress testing is discussed using slides, correct Homeowork In-class exercises: basic concepts and techniques are illustrated using examples. To follow the lectures closely, students are encouraged to work along with the instructor on these exercises. In-class discussions: students are encouraged to raise questions, participate in discussions, and share ideas with their peers. These discussions help students formulate their own opinions on controversial issues.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Appendix 2, Rubric 1 Method: Attendance Check & Work Assignment

Week 15

Summary and Revision Report Submission
Activities
Groups present projects and answer questions Lecturer and class members comments
Assessment
Appendix 2, Rubrics 1, 3
Final exam
Activities
Students take exams according to give schedule
Assessment
According to the exam requirement Appendix 2, Rubric 2