Prof. dr hab. Zenon Marciniak


Course Overview

This course is intended to provide students with a working knowledge of the principles and practices of risk management. The course will survey the major topics concerned with risk management, including:
- risk management system, exposure, risk measures, Value at Risk, EaR. CFaR. etc.
- risk management strategies, Markowitz, optimization.
- currency risk, interest rate risk, credit risk, operational risk.

Course Objectives

Main objectives for this course:
To show actual problems and methods of risk management.
To provide a proper methodology for dealing with currency risk, interest rate risk, credit risk, operational risk.

Course Methodology

This course is intended to provide you with a deep framework for dealing with the risk management problems. Handling the financial aspects of a business requires both an understanding of concepts and the skills to do analysis. Skills are best developed by doing; therefore the pedagogical approach used is application-oriented. Therefore, the emphasis is on understanding the financial issues and alternatives available, and learning the essential analytical tools for dealing with them.

The discussion will generally contain the following:
- A brief description of the risk management problem(s) being faced, and the decision(s) to be made.
- An analysis of the advantages and disadvantages of each alternative. Decision(s) or recommendation(s) with supporting reasons.

This is a very busy course, consisting of lectures (30 hours) and one examination.

Previous page