This course introduces the foundational concepts and key issues in financial risk management and institutional intermediation. While investment courses focus on optimizing the risk-return trade-off for portfolios, this course examines the fundamental modeling of risk and the resilience of financial institutions. The course covers (i) different aspects of market and non-market risk, including their measurement through methodologies such as Value-at-Risk, and (ii) the nature, functions, and regulation of banks, insurance companies, and fund managers. Specific topics covered include canonical models of volatility, correlation, and credit risk, as well as the assessment of interest rate and derivative exposures. These frameworks serve as a foundation to understand the fragility of financial systems and assess regulatory requirements for liquidity and operational risk. Practical proficiency is developed through applied data analysis and the study of historical risk management failure cases.
- Teacher: jiahong, Shi Jiahong