Define the concepts of risk and the process of risk management

Transcription

1 LEARNING MODULE DESCRIPTION (SYLLABUS) I. General information 1. Module title Risk Management 2. Module code 3. Module type optional 4. Programme title Management and Low in Business 5. Cycle of studies (1st of full master s programme) 6. Year of studies (2) 7. Terms in which taught ( winter term) 8. Type of classes and the number of contact hours (e.g. lectures: 40 hours;) 9. Number of ECTS credits 10. Name, surname, academic degree/title of the module lecturer/other teaching staff Eliza Buszkowska Associate Professor eliza_b2@o2.pl 11. Language of classes II. Detailed information 1. Module aim (aims) Achieving knowledge from Risk Management in practice and theory 2. Pre-requisites in terms of knowledge, skills and social competences (where relevant) The knowledge of mathematics and statistics on a level of the studies 3. Module learning outcomes in terms of knowledge, skills and social competences and their reference to programme learning outcomes Learning outcomes symbol* ZR_01 Upon completion of the course, the student will: Define the concepts of risk and the process of risk Reference to programme learning outcomes # ZR_02 ZR_03 Know the theoretical grounds of risk assessment Characterize derivatives and all popular financial instruments ZR_4 Manage market risk, operational risk, credit risk, insurance risk and bank risk K_U08, K_W06 * module code, e.g. KHT_01 (KHT module code in USOS; stands for Polish Kataliza Heterogeniczna /Heterogeneous Catalysis/ ) # programme learning outcomes (e.g. K_W01, K_U01, ); first K stands for programme title symbol in Polish, W for wiedza (knowledge) in Polish, U for umiejętności (skills) in Polish, K for kompetencje społeczne (social competences) in Polish 01, 02 - learning outcome number 1

2 4. Learning content Module title Learning content symbol* TK_01 TK_02 TK_3 Learning content description Concepts, history and rules of the process of risk Theoretical grounds of risk assessment For example the concepts of VaR, ES. Derivatives and its application in risk Reference to module learning outcomes # ZR_01 ZR_02 ZR_03 TK_04 Market risk ZR_04 TK_05 Operational risk ZR_4 TK_6 Credit risk ZR_4 TK_7 Insurance risk ZR_4 TK_8 Risk in banks ZR_4 * e.g. TK_01, TK_02, (TK stands for treści kształcenia /learning content/ in Polish) # e.g. KHT_01 module code as in Table in II.3 5. Reading list Tadeusz Teofil Kaczmarek, Zarządzanie ryzykiem ujęcie interdyscyplinarne, Delfin, Warszawa 2010 Krzysztof Jajuga, Zarządzanie ryzykiem, Wydawnictwo Naukowe PWN, Warszawa, 2010 Ryszard Doman Inżynieria finansowa, Wykłady dla studentów matematyki UAM Zarządzanie ryzykiem i ubezpieczenia, Problemy zarządzania, publikacja Wydziału Zarządzania UW Iwona Staniec, Janusz Zawiła - Niedźwiecki Zarządzanie ryzykiem operacyjnym J. Lam Enterprise Risk Management from Incentives to control Hull J. C. Options, futures and other derivatives 2

3 6. Information on the use of blended-learning (if relevant) 7. Information on where to find course materials III. Additional information 1. Reference of learning outcomes and learning content to teaching and learning methods and assessment methods Module title Symbol of module learning outcome* ZR_01-04 Symbol of module learning content # TK_01-08 Methods of teaching and learning Lecture with PowerPoint presentation, case studies, presentations made by students, quantitative tasks individual work of student on the board, tasks for a groups, didactical film Assessment methods of LO achievement & Test and oral exam * e.g. KHT_01 module code as in Table in II.3 and II.4 # e.g. TK_01 learning content symbol as in II.4 & Please include both formative (F) and summative (S) assessment It is advisable to include assessment tasks (questions). Module title: 2. Student workload (ECTS credits) Activity types Contact hours with the teacher as specified in the programme Independent study 1 Independent study 2 Total hours 56 Total ECTS credits for the module 45h Mean number of hours* spent on each activity type Paper and presentation preparation Exam preparation * Class hours 1 hour means 45 minutes # Independent study examples of activity types: (1) preparation for classes, (2) data analysis, (3) librarybased work, (4)writing a class report, (5) exam preparation, etc. 3. Assessment criteria Half of the points to achieve from activity during lectures. ( the sure note 3) Paper and presentation preparation: 0,5 of the note Equal points intervals 3

4 1. Titles of classes Syllabus: Week 1 Concepts, history and rules of the process of risk The ability to distinguish and name different kinds of risk. Ability to know the definition of risk, knowing basic facts from the history of risk, understanding various attitude to risk Week 2 Week 3 Week 4 Week 5 Week 6 Week 7 Week 8 Week 9 Measuring of risk Risk assessment and using the fundamental and most popular measures of risk, creating the profile of risk Derivatives and its application in risk The ability to characterize the most important derivatives and the ability to solve task with derivatives; using derivatives in risk strategies. Options The understanding of a sense of an option and knowing the risk of the portfolio which include options, for example delta-normal strategy. Market Risk Management Using Value of Risk and its modifications, Understanding Sharpe s Model and measure for an obligation - duration and its application Operational Risk Management Knowing the organizational structure of risk in a big company, knowing the written risk strategy of the company. Ability to define the operational risk and its characteristic kinds Credit Risk Management Knowing the terms of credit risk, solving tasks characteristic for banks which consider risk in credit analysis. Insurance Risk Management Knowing the specific terms and issues of risk and insurance for example gambling and hazard, forms of insurance organizations. Bank Risk Management1 Knowing the theory of risk in bank, case studies catastrophes in banks because of bad risk. Week 10 Bank Risk Management 2 Solving the quantitative tasks typical for risk in bank 4

5 Week 11 Week 12 Me and Risk Management presentation of the most important results in risk achieved by the lector in her scientific researches. Presentations Presentation of students of their papers joined with risk Week 13 Week 14 Week 15 Revision 1 Revision of theory preparing for the test. Giving a list of issues for exam. Revision 2 Revision of quantitative tasks preparing for the test Film Watching a film a document about the anatomy and causes of the last financial crisis. 5