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MFE1105 — Market Risk Measurement and Management 1 | Chương trình đào tạo NEU

MFE1105 — Market Risk Measurement and Management 1

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

Course description

Market Risk Measurement and Management is a specialized course for 3rd year student majoring in Quantitative Risk Management or Actuarial Science. The broad knowledge points covered in Market Risk Measurement and Management include the following: VaR and other risk measures (Parametric and non-parametric methods of estimation, VaR mapping, Backtesting VaR, Extreme Value Theory (EVT)); Modeling dependence: correlations and copulas; Stress testing and scenario analysis; Hedging. In addition, this course also covers the contents of Interest Rate Risk in the Banking Book (IRRBB). This course consists of 7 chapters.

Course requirements

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 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.

Teaching plan

Week 1

Lecture 1 Greeting and course introduction, its logic, its role and position in the program
References
Syllabus
Activities
Lecturer introduces the course Lecturer sets learning requirements Lecturer instructs students to read documents Lecturer instructs students to find documents Lecturer instructs to group work Lecturer divides students into working groups
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 1

Lecture 1, 2 Chapter 1. Estimating market risk measures Data Estimating historical simulation VaR Estimating parametric VaR Profits/Losses Arithmetric Returns Estimating coherent risk measures (CRM) ES Other CRM Estimating the standard errors of risk measure estimators Seminar 1
References
[1]
Activities
Students have to read the related contents before coming to class Lecturer euips students with theorical information Students: Read materials in advance, attend roll call, answer questions in Seminar 1 slides, participate in discussions.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 3

Lecture 3,4 Chapter 2. Non-Parametric Approaches Estimation of historical simulation VaR and ES Basic HS Bootstrapped HS Using Non-parametric Density Estimation Estimating confidence intervals for historical simulation VaR and ES An order Statistics approach A bootstrap approach Weighted historical simulation Age-weighted HS Volatility-weighted HS Filtered HS Advantages and disadvantages of non-parametric methods Seminar 2,3
References
[1]
Activities
Students have to read the related contents before coming to class Lecturer euips students with theorical information Students: Read materials in advance, attend roll call, answer questions in Seminar 2,3 slides, participate in discussions.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 5

Lecture 5,6 Chapter 3. Parametric Approaches - Extreme Value Generalised extreme-value theory GEV risk measures Estimation of EV parameters The peaks-over-threshold approach: the generalised pareto distribution POT risk measures Estimation of GP parameters Seminar 4,5
References
[1]
Activities
Students have to read the related contents before coming to class Lecturer euips students with theorical information Students: Read materials in advance, attend roll call, answer questions in Seminar 4,5 slides, participate in discussions.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 6

Lecture 6,7 Chapter 4. Backtesting VaR and Stress Testing Backtesting VaR Setup for backtesting Model backtesting with exceptions Stress testing Seminar 5,6
References
[1], [4], [7]
Activities
Students have to read the related contents before coming to class Lecturer euips students with theorical information Student have to discuss the circumstances and questions asked by the lecturer Seminar 5,6
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 8

Lecture 8 Chapter 5. VaR Mapping Mapping for risk measurement The mapping process Example Mapping fixed-income portfolios Mapping approaches Mapping linear derivatives Forward contracts Interest-rate Swaps Mapping options Seminar 7
References
[1]
Activities
Students have to read the related contents before coming to class Lecturer euips students with theorical information Student have to discuss the circumstances and questions asked by the lecturer in Seminar 7
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 9

Lecture 9 Chapter 6. Financial correlation risk Correlation Basics Financial correlation risk Type of the correlation risks Empirical Properties of Correlation Financial Correlation Modeling—Bottom-Up Approaches Copula correlations Seminar 8
References
[1]
Activities
Students have to read the related contents before coming to class Lecturer euips students with theorical information Students: Read materials in advance, attend roll call, answer questions in Seminar 8 slides, participate in discussions.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 10

Lecture 10,11 Chapter 7. Interest Rate Risk in the Banking Book 7.1. How to identify and measure IRRBB 7.2. How to manage IRRBB 7.3. Behaviouralisation of items without deterministic maturity and their impact on IRRBB 7.4. Interest rate risk and asset liability management Seminar 9
References
[6]
Activities
Students have to read the related contents before coming to class Lecturer euips students with theorical information Students: Read materials in advance, attend roll call, answer questions in Seminar 8 slides, participate in discussions.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 12

Lecture 12,13 Chapter 8. Interest Rate Risk in the Banking Book 7.5. IRRBB stress test, reverse stress test and ICAAP 7.6. IRRBB governance and framework Seminar 10
References
[4], [6], [7]
Activities
Students have to read the related contents before coming to class Lecturer euips students with theorical information Students: Read materials in advance, attend roll call, answer questions in Seminar 10 slides, participate in discussions.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 14

Present group exercise.
References
[1]
Activities
Groups report and answer questions Lecturer and class members comments
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 2 Method: Attendance Check & Work Assignment
Final exam
Activities
Students take exams according to givem schedule
Assessment
According to the exam requirement; Assessment will follow Rubric 3

Learning resources

  • 1. Course Books
  • Market Risk Measurement and Management book, garp.org/frm, 2025
  • 2. References
  • Standard lecture notes/slides 2025
  • 3. Other resources available at the University Library
  • https://www.garp.org/frm/study-materials
  • https://www.bis.org/
  • Akhtar Siddique and Iftekhar Hasan, Stress Testing: Approaches, Methods and Applications, 2013
  • Beata lubinska, Interest Rate Risk in the Banking Book: A Best Practice Guide to Management and Hedging, 2022
  • Tiziano Bellini , Stress Testing and Risk Integration in Banks- A Statistical Framework and Practical Software Guide (in Matlab and R), 2017