0 Syllabus

Fin 450 – Financial Risk Management
Fall 2024
Instructor: Dr Eymen Errais
Email: [email protected]
Course site:
Google Classroom link: https://classroom.google.com/u/0/c/MzcxMTI4ODMyNzky
Google Classroom course code: wklddk3
Teaching Assistants:
Lamiss Boughamoura : [email protected]
Office hours:
On demand
Pre-requisites: BCOR 250 and FIN 330
COURSE DESCRIPTION
This course introduces students to the tools, concepts, and issues of financial risk
management. The objective of the course is for students to acquire an understanding of the
central issues in the analysis of the different kinds of financial risks and how to manage
them. It will allow students to enhance their ability to use different kinds of technical tools
such as Monte Carlo simulation, statistics & probability as well optimization tools.
This course is also very important for those who are pursuing the Financial Risk Management
(FRM) given by the Global Association of Risk Professionals (GARP).
COURSE LEARNING OUTCOMES

Upon successful completion of the course, students will be able to:
• Understand financial risks.
• Master the analyses of financial institutions’ risk management using both
quantitative and qualitative tools
• Evaluate, compare, and apply tools and procedures used to measure and manage
risk, including quantitative measures, qualitative risk assessment techniques, and
enterprise risk management.
• Describe and differentiate between the key classes of risks, explain how each type of risk can
arise, and assess the potential impact of each type of risk on an organization.
• Be prepared to take the Financial Risk Manager (FRM) certification
1
COURSE MATERIALS
FRM Exam Part I – Foundations of Risk Management – 2023
FRM Exam Part I – Quantitative Analysis – 2023
FRM Exam Part I – Valuation and Risk Models – 2023
FRM Exam Part II – Market Risk Measurement and Management – 2024
FRM Exam Part II – Credit Risk Measurement and Management – 2024
FRM Exam Part II – Operational Risk and Measurement – 2024
2
The rest of the materials will be posted on Google Classrooms
EVALUATION SCHEME
Grading distribution:
Quizzes and problems set: 30 %
Projects: 30 %
Final Exam: 40%
TBS GRADING SCALE
Scale (out of 100) TBS Grading Scale Grade Point

Grade > 90 A 4.0
87≤ Grade < 90 A- 3.7
83 ≤ Grade < 87 B+ 3.3
80 ≤ Grade < 83 B 3.0
77 ≤ Grade < 80 B- 2.7
73≤ Grade < 77 C+ 2.3
70 ≤ Grade < 73 C 2.0
67 ≤ Grade < 70 C- 1.7
65 ≤ Grade < 67 D+ 1.3
60 ≤ Grade < 65 D 1.0
Grade < 60 F 0.0
3
TENTATIVE SCHEDULE
The most updated information with all deliverables will be posted on Google Classrooms.
Week Content and Deliverables Readings

1 1.Introduction to Risk Management Chapters 1,2-
Understanding the Risk, Return couple Foundations of Risk
Management
Risk Governance/Risk Regulation/Risk actors
2 Risk Governance/Risk Regulation/Risk actors Chapter 3- Foundations
of Risk Management
3&4 Quantitative Analysis: Chapters 1 to 5-
Fundamentals of probability Quantitative Analysis
Fundamentals of statistics
Monte Carlo Methods
5 2.Market Risk
Understanding volatility Chapters 1, 2 –
Correlation and copulas Valuation and Risk
Models
6 Value at Risk (VaR)

VaR definition Chapter 1, 2, 4 – Market
VaR Methods Risk Measurement and
Management
Expected Shortfall
7 Extreme Value Theory Chapter 6 – Market Risk
Measurement and
Management
8 5.Interest Rate Risk Chapters 10, 11,12 –

Introduction Valuation and Risk
Models
Fixed income securities and interest rate risks
Factors affecting yields
Constructing yield curves
Bootstrapping
Nelson Siegel Model
9 Managing interest rate risk Chapters 10, 11,12 –
Duration Valuation and Risk
Models
Convexity
10 and 3.Credit Risk
11 Credit ratings Chapters 1,9 – Credit
Estimating default probabilities Risk Measurement and
Management
Credit spreads
12 CVA, DVA, FVA and XVA

Chapters 12, 20 – Credit
Credit Exposure on Derivatives
Risk Measurement and
Wrong way risk Management
CVA, DVA
13 Managing Credit Risk:
Credit VaR Chapters 10 – Credit Risk
CreditMetrics Measurement and
Management
Credit Risk Plus
4
4.Operational Risk Chapter 7 – Valuation
Introduction and Risk Models
14 Case histories
Business Lines
Assessing Operational Risk
Comparison of approaches
Actuarial Models
15 Managing Operational Risk Chapters 4,5 –
Capital allocation and insurance Operational Risk and
Resilience
Mitigating Operational Risk
ACADEMIC REGULATIONS
1. Class Attendance
Students are expected to attend the school regularly and to attend all classes. Non-attendance or
frequent absences may result a failing grade. A student is allowed up to 4 absences per semester per
course. Passed this number, he/she will not be permitted to take the final exam of that course. One
absence is equivalent to an absence from a 3-hour class session.
Any absence during the exam results a grade of 0.
Punctuality: Students are expected to be on time for school and classes.
2. Course Withdrawal
Once the student is registered in a course, he cannot withdraw it. However, the school may grant a
special permission for a student to withdraw one or more courses under special conditions, such as
long sickness, social problems, etc.
3. Work Habits
Students are expected to be prepared for and to participate in each class to meet performance
standards, to have the necessary class materials, to complete class work and homework accurately
and on time, and to prepare for quizzes, tests and examinations.
4. Team Work
Team members should depict which roles can be filled within a group (e.g., facilitator, team leader,
summarizer, evaluator, mediator, encourager, recorder). They also should be aware of which role(s)
they are best suited for. Hence, for successful teamwork, students should exhibit a high sense of
cohesion. This means:
Openness: Teammates should be open to new ideas, diverse viewpoints, and the variety of
individuals present within the group.
Support: Teammates view one another as collaborators, not as competitors. They demonstrate
support for one another to achieve the assignment objectives.
Respect: Teammates must respectfully listen to their colleagues and consider opposing views.
Further, they should effectively manage conflict around group differences.
5. Plagiarism and Cheating

“Plagiarism” shall be deemed to include:
6. Plagiarism of ideas as where an idea of an author or speaker is incorporated into the body of
an assignment as though it were the writer’s idea, i.e. no credit is given the person through
referencing or footnoting or end noting.
5
7. Plagiarism of words occurs when phrases, sentences, tables or illustrations of an author or
speaker are incorporated into the body of a writer’s own i.e. no quotations or indentations
(depending on the format followed) are present but referencing or footnoting or end noting.
8. Plagiarism of ideas and words as where words and an idea(s) of an author or speaker are
incorporated into the body of a written assignment as though they were the writer’s own
words and ideas, i.e. no quotation or indentations (depending on the format followed) are
present but referencing or footnoting or end noting.
Cheating is the actual or attempted practice of fraudulent and/or deceptive acts for the purpose of
gaining an unearned academic advantage. Typically, such acts occur in relation to examinations.
TBS takes a most serious view of offences against academic dishonesty such as plagiarism and
cheating. Penalties for dealing with such offences will be strictly enforced.

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Fin 450 – Financial Risk Management

Pre-requisites: BCOR 250 and FIN 330

COURSE LEARNING OUTCOMES

Scale (out of 100) TBS Grading Scale Grade Point

Week Content and Deliverables Readings

6 Value at Risk (VaR)

8 5.Interest Rate Risk Chapters 10, 11,12 –

12 CVA, DVA, FVA and XVA

5. Plagiarism and Cheating

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