Financial Risk Management (FIN406)
Vietnamese title: Quản trị rủi ro tài chính
Credits: 3
Prerequisites: MAS202 and FIN402

Description:
Financial Risk Management course explains all aspects of financial risk and financial institution regulation, helping you better understand the financial markets—and their potential dangers. Inside, you’ll learn the different types of risk, how and where they appear in different types of institutions, and how the regulatory structure of each institution affects risk management practices.

Learning outcomes:
Articulate applicability of conduct risk in various types of financial institutions, its drivers and mitigation techniques
Classify and comprehend core risk measurement and management tools to a variety of risks faced by institutions
Evaluate key risks applicable to financial institutions using core risk measurement tools
Evaluate the effectiveness of the risk monitoring frameworks used by financial institutions
Identify and articulate the key aspects of Basel (II, and III) framework and the shortcomings of the Basel Frameworks.
Shows self-reliance when working independently and collaboratively
Demonstrate ethical awareness and reflection in business context

Student tasks:
* Students must attend at least 80% of contact slots in order to be accepted to the final examination.
* Student is responsible to do all exercises, assignments given by instructors in class or at home and submit on time
* Use laptop in class only for learning purpose
* Promptly access to http://flm.fpt.edu.vn for up-to-date course information

Tools:

Materials:
description: Risk Management and Financial Institutions, Decision-Making, and Markets
author: John C. Hull
publisher: Wiley
published_date: 2010
edition: 6th

Assessments:
category: Class Participation
type: on-going
weight: 10.0
duration: All sessions
no_question: Discussion questions and Constructive questions
note: Classroom
category: Essay Test
type: on-going
weight: 15.0
duration: 45 minutes
question_type: LO1, LO2, LO3, LO4, LO5
no_question: Essay questions covering both qualitative and quantitative aspects of the learning materials
knowledge_and_skill: Number of questions will depend on the lengths and difficulty levels of each question given by the lecturer.
grading_guide: Part 1,2,3,4,5,6,7
note: Classroom
category: Group Assignment
type: on-going
weight: 15.0
duration: 4-5 weeks
question_type: LO1, LO2, LO3, LO4, LO5
no_question: _ Quantitative questions require students to collect data and perform detailed analyses in excel format with formulas.
_ Qualitative and discussion questions require students to provide their own assessment and judgement with detailed explanation in their answers.
knowledge_and_skill: Number of questions will depend on the lengths and difficulty levels of each question given by the lecturer.
grading_guide: Part 1,2,3,4,5,6,7
note: Take-Home and Classroom
category: Individual Assignment
type: on-going
weight: 15.0
duration: 2-3 weeks
question_type: LO1, LO2, LO3
no_question: _ Quantitative questions require students to collect data and perform detailed analyses in excel format with formulas.
_ Qualitative and discussion questions require students to provide their own assessment and judgement with detailed explanation in their answers.
knowledge_and_skill: Number of questions will depend on the lengths and difficulty levels of each question given by the lecturer.
grading_guide: Part 1,2
note: Take-Home
category: Mid-term test
type: on-going
weight: 15.0
duration: 45 minutes
question_type: LO1, LO2, LO3
no_question: Multiple-choice, True-False; Short-answer Questions covering both qualitative and quantitative aspects of the learning materials.
knowledge_and_skill: Number of questions will depend on the lengths and difficulty levels of each question given by the lecturer.
grading_guide: Part 1,2
note: Classroom
category: Final exam
type: Final
weight: 30.0
duration: 60 minutes
question_type: LO1, LO2, LO3, LO4, LO5
no_question: Multiple - choice questions
knowledge_and_skill: 50
grading_guide: All chapters and learning materials covered in the course.
note: Classroom

Schedule:
session: - Course overview
- Introduction to AI Integration
- Chapter 1: Introduction: Risk-Return Trade-offs
1.1. Risk vs Return for Investors
1.2. The Efficient Frontier
learning_outcomes: IT
materials: FIN406
session: Chapter 1: Introduction: Risk-Return Trade-offs

1.3. The Capital Asset Pricing Model
1.4. Arbitrage Pricing Theory
learning_outcomes: T
materials: FIN406
session: Chapter 1 (continued)
1.5. Risk vs Return for Companies
1.6. Risk Management by Financial Institutions
1.7. Credit Ratings
learning_outcomes: T
materials: FIN406
session: PART 1: FINANCIAL INSTITUTIONS
Chapter 2: Banks
2.1. Commercial Banking
2.2. The Capital Requirements of a Small Commercial Bank
2.3. Deposit Insurance
learning_outcomes: T
session: Chapter 2 (continued)
2.4. Investment Banking
2.5. Securities Trading
2.6. Potential Conflicts of Interest in Banking
2.7. Todays Large Banks
2.8. The Risks Facing Banks
learning_outcomes: T
session: Chapter 3: Insurance Companies and Pension Plans
3.1. Life Insurance
3.2. Annuity Contract
3.3. Mortality Tables
3.4. Longevity and Mortality Risk
3.5. Property - Casualty Insurance
3.6. Health Insurance
learning_outcomes: T
session: Chapter 3 (continued)
3.7. Moral Hazard and Adverse Selection
3.8. Reinsurance
3.9. Capital Requirement
learning_outcomes: T
session: Chapter 3 (continued)
3.10. The Risks Facing Insurance Companies
3.11. Regulation
learning_outcomes: T
session: Chapter 4: Fund Managers
4.1. Mutual Funds
4.2. Exchange-Traded Funds
4.3. Active vs Passive Management
4.4. Regulation
learning_outcomes: T
session: Chapter 4 (continued)
4.5. Hedge Funds
4.6. Hedge Fund Strategies
4.7. Hedge Fund Performance
learning_outcomes: T
session: Practice and Review Chapter 2; 3; 4
learning_outcomes: T
session: PART 2: FINANCIAL MARKETS
Chapter 5: Financial Instruments
5.1. Long and Short Positions in Assets
5.2. Derivative Markets
learning_outcomes: T
session: Chapter 5: Financial Instruments
5.3. Plain Vanilla Derivatives
5.4. Non - Traditional Derivatives
learning_outcomes: T
session: Chapter 5 (continued)

5.5. Exotic Options and Structured Products
5.6. Risk Management Challenges
learning_outcomes: I
session: Chapter 7: Securitization and the Global Financial Crisis
7.1. The U.S. Housing Markets
7.2. Securitization
7.3. The Losses
learning_outcomes: T
session: Chapter 7 (continued)
7.4. What went wrong?
7.5. Lessons from the Crisis
learning_outcomes: T
session: Practice and Review Chapter 5; 7
learning_outcomes: T
session: Chapter 8: Volatility
8.1. Definition of Volatility
8.2. Implied Volatilities
learning_outcomes: T
session: Chapter 8 (continued)
8.3. Are daily Percentage Changes in Financial Variables Normal?
8.4. The Power Law
learning_outcomes: T
session: Individual Assignment Handout
learning_outcomes: U
session: Chapter 10: Valuation and Scenario Analysis
10.1. Volatility and Asset Prices
10.2. Risk - Neutral Valuation
learning_outcomes: T
session: Chapter 10(continued)
10.3. Scenario Analysis
10.4. When Both Worlds Have To Be Used
learning_outcomes: T
session: Chapter 10(continued)
10.5. The Calculations in Practice
learning_outcomes: I
session: Practice and Review Chapter 8; 10
learning_outcomes: T
session: Mid-term Test
session: PART 3: MARKET RISK
Chapter 11: Value at Risk and Expected Shortfall
11.1. Definition of VaR
11.2. Examples of the Calculation of VaR
11.3. A Drawback of VaR
learning_outcomes: T
session: Chapter 11 (continued)
11.4. Expected Shortfall
11.5. Coherent Risk Measures
learning_outcomes: T
session: Chapter 11(continued)
11.6. Choices of Parameters for VaR and ES
11.7. Aggregating VaR and ES
learning_outcomes: T
session: Group assignment handout
learning_outcomes: U
session: Practice and Review Chapter 11
learning_outcomes: U
session: Chapter 14: Interest Rate Risk
14.1. Types of Rates
14.2. Calculating Risk Measures
learning_outcomes: T
session: Chapter 14 (continued)
14.4. The Management of Interest Income
14.5. Duration
14.6. Convexity
learning_outcomes: T
session: Chapter 14 (continued)
14.7. Generalization
learning_outcomes: T
session: Chapter 16: Scenario Analysis and Stress Testing
16.1. Generating the Scenarios
learning_outcomes: T
session: Chapter 16(continued)
16.2. Regulation
16.3. What to do with the results
learning_outcomes: T
session: Chapter 16 (continued)
Case studies:
- Long-Term Capital Management (LTCM)'s big loss.
-Traffic Light Options
learning_outcomes: T
session: Practice and Review Chapter 14; 16
learning_outcomes: U
session: PART 4: CREDIT RISK
Chapter 17: Estimating Default Probability
17.1. Credit Ratings
17.2. Historical Default Probabilities
Submission of Individual Assignment
learning_outcomes: T
session: Chapter 17 (continued)
17.3. Recovery Rate
17.4. Credit Default Swap
learning_outcomes: T
session: Chapter 17: Estimating Default Probability
17.5. Credit spread
17.6. Estimating Default Probabilities from Credit Spreads.
learning_outcomes: T
session: Practice and Review Chapter 17
learning_outcomes: U
session: PART 5: OTHER RISKS
Chapter 20: Operational Risk
20.1. Defining Operational Risk
20.2. Categorization of Operational Risk
learning_outcomes: T
session: Chapter 21: Liquidity Risk
21.1. Liquidity Trading Risk
21.2. Liquidity Funding Risk
learning_outcomes: T
session: Chapter 23: Climate Risk, ESG, and Sustainability
23.1. Climate Risk
23.2. ESG
23.3. Sustainability
learning_outcomes: T
session: Practice and Review Chapter 20; 21; 23
learning_outcomes: U
session: PART 6: REGULATION
Chapter 25: Basel I, Basel II, and Solvency II
25.1. The reasons for Regulating Banks
25.2. Bank Regulation Pre-1988
learning_outcomes: T
session: Chapter 25 (Continued)
25.3. The 1988 BIS Accord
25.4. The G-30 Policy Recommendations
learning_outcomes: T
session: Chapter 25: (Continued)
25.7. Basel II
learning_outcomes: T
session: Chapter 26: Basel II.5; Basel III; and other post-crisis Changes
26.2. Basel III
learning_outcomes: T
session: Practice and Review Chapter 25; 26
learning_outcomes: U
session: PART 7: OTHER TOPICS
Chapter 30: Risk Management Mistakes to Avoid
30.1. Risk Limits
30.2. Managing the Trading Room
30.3. Liquidity Risk
learning_outcomes: T
session: Chapter 30 (Continued)
30.4. Lessons for Nonfinancial Corporations
30.5. A Final Point
learning_outcomes: T
session: Final Essay Test
session: Course revision
learning_outcomes: U
session: Course revision
learning_outcomes: U
session: Group presentation and Report Submission
learning_outcomes: U
session: Group presentation and Report Submission
learning_outcomes: U
session: Group presentation and Report Submission
learning_outcomes: U
session: Group presentation and Report Submission
learning_outcomes: U
session: Group presentation and Report Submission
learning_outcomes: U