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Christoffersen Peter (2003), Elements of Financial Risk management John Wiley& Sons Inc.

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McNeil A. J., Rudiger F., Embrechts P. (2005), Quantitative Risk Management

Princeton University Press.

Alexander C. (2008), Market Risk Analysisvol. IV, John Wiley & Sons Ltd.

Collier Paul (2009), Fundamentals of Risk Management for Accountants and

Managers John Wiley & Sons Inc.

Choudhry Moorad (2006), An Introduction to Value-at-Risk John Wiley & Sons

Inc.

BUSINESS RISK MANAGEMENT

Course Outline

The course introduces the students to the various risks a firm has to deal with. A

firms decision under uncertainty means a risk management. Risk management

answers the question of how much risk anyone is willing to undertake. Therefore, the

students will learn about the factors affecting behavior under uncertainty. Especially,

the students will learn how to quantify and distribute the risk. The students will

develop skills by using the softwares: @Risk, Eviews. In particular the students will

use the program to obtain optimal solutions to problems under uncertainty.The aim of the course is to supply the students with the tools so that they will know

how to

(i) solve optimization problems analytically

(ii) use simulation approach to solve the problems

(iii) do Monte Carlo experiments.

Course Topics

1. Types of Risk. Financial Risk.

Quantifying Risk. Expected utility theory.

Stochastic Dominance.

Risk management and Returns.

Risk and conditional distribution.

Risk hierarchy and CAPM model.

VaR and CVaR models.

Simulation methods

Monte Carlo simulation for risk management.

Correlation models.

Volatility models.

Backtesting and stress testing.

Bibliography

Christoffersen Peter (2003), Elements of Financial Risk management John Wiley

& Sons Inc.

McNeil A. J., Rudiger F., Embrechts P. (2005), Quantitative Risk Management

Princeton University Press.

Alexander C. (2008), Market Risk Analysisvol. IV, John Wiley & Sons Ltd.

Collier Paul (2009), Fundamentals of Risk Management for Accountants and

Managers John Wiley & Sons Inc.Choudhry Moorad (2006), An Introduction to Value-at-Risk John Wiley & Sons

Inc.