Risk Management in Banking

  • Course Outline

The Need for Risk Management (Jorion, Chapter 1), Lessons From Financial Disasters (Jorion, Chapter 2), VaR (Value-at-Risk) – Based Regulatory Capital (Jorion, Chapter 3), Market Risk (Jorion, Chapters 4,5,10), Backtesting (Jorion, Chapter 6), Credit Risk Management (Jorion, Chapter 18), Operational Risk Management (Jorion, Chapter 19), Liquidity Risk Management  (Jorion, Chapter 13), Portfolio Risk Management (Jorion, Chapter 7).

  • Articles

Carol Alexander, Elizabeth Sheedy, Developing a stress testing framework based on market risk models, Journal of Banking & Finance, Volume 32, Issue 10, October 2008, Pages 2220-2236. Value-at-risk: a multivariate switching regime approach, A Billio, Monica and Pelizzon, Loriana, J Journal of Empirical Finance, 7,531-554. Bangia, A., Diebold, F. X., Schuermann, T. andStroughair, J. (1999) Modeling liquidity risk, with implications for traditional market risk measurement and management, The Wharton Financial Institutions Center WP 99–06Measuring the Market Risk of Freight Rates: A Value-at-Risk Approach” (with G. Skiadopoulos). International Journal of Theoretical and Applied Finance (2008) 11, 447-469. Volatility Forecasting: Intra-day vs. Inter-day Models” (with S. Degiannakis). Journal of International Financial Markets, Institutions & Money (2008) 18, 449-465. BacktestingVaR Models: A Two-Stage Procedure” (with S. Degiannakis). The Journal of Risk Model Validation (2007) 1, 1-22. “A Robust VaR Model Under Different Time Periods and Weighting Schemes” (with A. Benos and S. Degiannakis). Review of Quantitative Finance and Accounting (2007) 28, 187-201. “Liquidity Adjusted Value-at-Risk based on the components of the bid-ask spread” (with A. Benos). Applied Financial Economics (2006) 16, 835-851The Use of GARCH Models in VaR Estimation” (with A. Benos and S. Degiannakis). Statistical Methodology (2004) 1, 105-128.

  • Grading Distribution 

Final Exam (70%) 30 Multiple Choice Questions

Project (30%).Calculate Value-at-Risk for two Stock Indexes and perform backtesting techniques

Foundation of Finance

  • Course Outline

This module introduces students to the fundamental tools of modern corporate finance and asset valuation. It focuses on the concept of the present value rule and how it can be used to value stocks and plain vanilla bonds. It introduces mean-variance portfolio, the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), the Multifactor Asset Pricing Models and discusses the efficient market hypothesis. It discusses the capital budgeting problem and how the firms can finance the undertaken projects. Finally, it introduces the students to the financial statement analysis.

Lecture 1 Introduction, The objectives of the Firm. Chapters 1,2
Lecture 2 How to Calculate Present Values. Chapter 3
Lecture 3 The Value of Bonds and Stocks. Chapters 4,5
Lecture 4 Investment Decisions. Chapter 6, 7
Lecture 5 Case Studies
Lecture 6 Midterm Exam
Lecture 7 Risk and Return. Chapters 8, 9
Lecture 8 Capital Budgeting and Project Analysis. Chapters 10, 11
Lecture 9 Efficient Markets and Behavioral Finance
Lecture 10 Dividend and Debt Policy. Chapters 17, 18, 19
Lecture 11 Case Studies
Lecture 12 Financial Planning. Chapters 29, 30,31
Lecture 13 Case Studies, Review
  • Readings

Brealey, R., Myers S., & Allen F. Principles of Corporate Finance. 10th Edition. McGraw Hill.

  • Grading Distribution 

Final Exam (70%)30 Multiple Choice Questions

Project (30%).Evaluation of NPV techniques