MÁSTER EN FINANCIAL RISK MANAGEMENT

Transcription

1 Propio: MÁSTER EN FINANCIAL RISK MANAGEMENT Código Plan de s: EN81 Año Académico: ESTRUCTURA GENERAL DEL PLAN DE ESTUDIOS: CURSO Créditos Obligatorios Nº Asignaturas Créditos Optativos Nº Asignaturas Prácticas Externas Créditos Memoria/ Proyecto Créditos Créditos 1º º 3º ECTS TOTALES PROGRAMA TEMÁTICO: Código Asignatura Curso ASIGNATURAS OBLIGATORIAS Denominación Carácter OB/OP INTERNATIONAL ECONOMICS AND GLOBAL RISKS OB QUANTITATIVE AND COMPUTATIONAL METHODS OB PORTFOLIO MANAGEMENT OB FINANCIAL MARKETS AND PRODUCTS OB CREDIT RISK I OB MARKET RISK OB Código Asignatura Curso OPERATIONAL RISK IN BANKING AND FINANCIAL INSTITUTIONS ASIGNATURAS OPTATIVAS (Se deberán elegir 4 asignaturas) Denominación Créditos OB 3 Carácter OB/OP LIQUIDITY RISK MANAGEMENT OP ENTERPRISE RISK MANAGEMENT OP TECHNOLOGICAL RISK OP INTERNATIONAL RISK REGULATION OP FOUNDATIONS OF RISK MANAGEMENT OP CREDIT RISK II OP 3 Créditos INTEGRATED RISK MANAGEMENT OP 3 s Propios 1

2 CURRENT ISSUES IN FINANCIAL MARKETS OP SYSTEMIC RISK, RISK TRANSFER AND CONSOLIDATION OP RISK-BASED CAPITAL AND BUFFERS OP 3 Código Asignatura Curso MEMORIA /PROYECTO Denominación Carácter OB/OP FINAL PROJECT OB 6 Carácter: OB - Obligatoria; OP Optativa Créditos s Propios 2

3 PORTFOLIO MANAGEMENT Carácter (Obligatoria/Optativa) OB Créditos (1 ECTS=25 horas) 6 Número de horas presenciales/on-line asistencia profesor 42 Número de horas de trabajo personal del estudiante 108 Total horas 150 In rare situations financial instruments are employed alone but they are usually combined with some other instruments of the same or different kind to form portfolios. When several instruments are mixed, the analysis of return and volatility (among other characteristics) is more complex and specific tools and models have been proposed. This subject presents a panoramic of such tools and models. In the first part of the subject we analyze the behavior of investors, describing concepts such as utility and risk aversion. Then, we move to describe the classical Markowitz approach and introduce equilibrium models such as CAPM (Capital Asset Pricing Model) and APT (Arbitrage Price Theory) as well as more recent extensions. After this, we focus on more practical issues such as indexing, performance attribution market timing and tactical asset allocation. After this we focus on the analysis of instruments that can be employed when a passive strategy is adhered such as ETF, Indexes and others. Finally, the last part of the subject is devoted to analyzing important aspects such as Ethics in Portfolio Management and Industry Practices and Standards, particularly GIPS (Global Investments Performance Standards). Richard O. Michaud y Robert O. Michaud (2008): Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press. s Propios 3

4 INTERNATIONAL ECONOMICS AND GLOBAL RISKS Carácter (Obligatoria/Optativa) OB Créditos (1 ECTS=25 horas) 6 Número de horas presenciales/on-line asistencia profesor 42 Número de horas de trabajo personal del estudiante 108 Total horas 150 It is now evident that in the present context of a globalized world, the interconnections between individuals, firms, governments and other organizations have exploded. This class introduces some of the external factors that affect firms and organizations susceptible of creating risk. In the first part of the subject we present a classical framework that shows how microeconomic, macroeconomic and international economics decisions, at a global level, impact on firms and individuals and how they can create uncertainty and risk. In the second part we extend our analyses to provide arguments showing that, in fact, such decisions are not purely external but that, in many cases, are the result of other even stronger geostrategical, political or social influences. An important part of the subject is also devoted to explain the role of supra-national organisms such as IMF or World Bank in the context of risk creation and mitigation. Diversas referencias en Microeconomia, Macroeconomia y Economia Internacional y trabajos publicados por organismos internacionales como FMI, World Bank, etc. s Propios 4

5 FINANCIAL MARKETS AND PRODUCTS Carácter (Obligatoria/Optativa) OB Créditos (1 ECTS=25 horas) 9 Número de horas presenciales/on-line asistencia profesor 63 Número de horas de trabajo personal del estudiante 162 Total horas 225 Financial Risk cannot be understood without a full knowledge of the instruments and markets that either generate risks or that may be employed to manage it. This subject presents an introduction to the main financial instruments and the markets where they are traded. First we analyze fixed-income instrument and, particularly, the different kinds of bonds (e.g. zero and non-zero coupon bonds) and the techniques employed to value them (e.g. duration, modified duration and convexity). The next step consists of describing equity, i.e. financial instruments where returns are unknown. After explaining the similarities and differences with fixed income instruments we analyze the different tools employed for valuation (fundamental, technical, quantitative and behavioral analyses). Finally we focus on instruments whose value is contingent on some other asset or instruments, i.e. derivatives. After analyzing the particular characteristics of the most important derivative instruments (Futures and Options) we focus on determining its value employing analytical (e.g. Black Scholes) and approximate methods (Binomial and Monte Carlo). Sophisticated derivative instruments such as exotic options are also analyzed. In the final part of the subject we focus on the specific characteristics where each of these instruments are traded, analyzing aspects such as microstructure, price formation and efficiency and their effects on Risk Management. Zvi Bodie and Alex Kane and Alan Marcus (2014): Investments, McGraw Hill. s Propios 5

6 QUANTITATIVE AND COMPUTATIONAL METHODS Carácter (Obligatoria/Optativa) OB Créditos (1 ECTS=25 horas) 6 Número de horas presenciales/on-line asistencia profesor 42 Número de horas de trabajo personal del estudiante 108 Total horas 150 Nowadays, in Finance, it is almost impossible to take optimal decisions without the use of computer and mathematical models. In this subject we introduce some of the concepts and tools that can be employed to model and analyze, from a quantitative perspective, the behavior of the financial instruments and the measurement of financial risks. The first part of the subject is devoted to introduce the main econometric tools that are of immediate application in Finance. After refreshing the main concepts of probability and statistics we focus on hypothesis testing and model building. A variety of models to analyze the conditional mean (Box-Jenkins and nonlinear) and variance (e.g. ARCH) of the returns of financial instruments are presented. Also, particular attention is given to analyze the performance of forecasts and to particular techniques that are widely employed in the financial context (e.g. Bayesian analysis, Copulas and Simulation). In the second part of the subject most of the concepts and models are implemented with the help of high level languages, in particular R and/or Python. After introducing the tools for programming (e.g. variables description, flow control, plotting, importing and exporting data) many examples of implementation and testing the models are presented. This class does not assume that students have knowledge of programming languages or databases, but a particular effort is expected from the student to attain a reasonable level in programming at the end of the class. Wes McKinney (2017): Python for Data Analysis: Data Wrangling with Pandas, NumPy, and IPython. O Reilly. James H. Stock and Mark W. Watson (2017): Introduction to Ecoometrics, Pearson. s Propios 6

7 CREDIT RISK I Carácter (Obligatoria/Optativa) OB According to the Basel Committee on Banking Supervision, Credit Risk refers to the risk that a borrower will default on any type of debt by failing to make required payments. In this course we provide a deep analysis, from a quantitative point of view, of Credit Risk and the financial instruments that have been developed to manage it. After defining credit and counterparty risk we present the quantitative techniques and models to analyze default probabilities, expected loss as well as many other related concepts, which are essential to measure credit risk exposure. GARP FRM Official Textbooks, Part I and II. s Propios 7

8 MARKET RISK Carácter (Obligatoria/Optativa) OB Créditos (1 ECTS=25 horas) 6 Número de horas presenciales/on-line asistencia profesor 42 Número de horas de trabajo personal del estudiante 108 Total horas 150 Market Risk refers to the loss incurred due to the negative evolution in the price of a portfolio of assets and instruments. In this course we provide a complete introduction to the sources of market risks, the tools to measure such risks and the regulatory framework. In the first part of the course we analyze the different sources that may lead to market risk (interest rates, equity commodities, foreign exchanges among others). Then we introduce the main tools to measure such risks (Value at Risk, Expected Shortfall, etc.) and discuss the failures of such measures and the alternatives proposed as well as the different methods that can be employed (parametric method, historical method and Monte Carlo simulation). In the second part we analyze the rich literature on Market Risk Regulation and its implications for measuring and managing such risks. Particular emphasis is put on several alternatives to assess the quality of measurements, such as stress testing, back testing and scenario analysis. GARP FRM Official Textbooks, Part I and II. s Propios 8

9 OPERATIONAL RISK IN BANKING AND FINANCIAL INSTITUTIONS Carácter (Obligatoria/Optativa) OB Operational Risk consists of the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. Due to the openness of the definition, Operational Risk includes many kids of risks such as legal, natural disasters, external and internal frauds, business disruptions and so on. In this course we focus on the main definitions and tools provided under the Guidelines for Operational Risk of the Basel Accords. Some topics that will be analyzed are the approaches proposed by Basel to risk measurement, loss data, model risk, stress testing and several others. We deliberately avoid the treatment of Technological Risks, Liquidity Risks and Enterprise Risk Management, usually considered under the Operational Risk umbrella, due to the specific treatment that is done in other subjects of the Master. GARP FRM Official Textbooks, Part I and II. s Propios 9

10 INTERNATIONAL RISK REGULATION Carácter (Obligatoria/Optativa) OP Regulation provides the core for firms to operate. Financial and nonfinancial firms need to know the rules and regulations that they have to fulfill; not only to avoid sanctions and penalties (e.g. due to the violation of anti-money laundering laws) but because they are standards which can be used by analysts and others to compare against other firms. Moreover, the recent financial crisis put a higher emphasis in regulation making it a crucial issue. In this course we provide an overview of the main organisms, laws and trends in relation with regulation. Due to the nature of their business, in the Financial Industry such regulation is of international nature and so we analyze the international frameworks that provide the regulatory principles such as those outlined by the Basel Committee on Banking Supervision and others (e.g. Sarbanes- Oxley). Other aspects such as information disclosure, risk governance and compliance are also analyzed. Luedtke, A., Svedin, L., Hall, Thad (2010): Risk Regulation in the United States and European Union, Palgrave s Propios 10

11 CREDIT RISK II Carácter (Obligatoria/Optativa) OP We provide a full introduction to mitigation techniques such as netting, collateralizing and analyze the effect of clearinghouses. Some topics of interest also covered are Wrong-Way-Risk and Credit Value Adjustment. In the second part we focus on the materialization and management of credit risk with the use of financial instrument. We describe the securitization process to end with a detailed description of specific instruments such as Credit Default Swaps (CDS), Collateralized Debt Obligations (CDO) and others. Finally, the problem of Credit Rating and the role of Credit Rating Agencies are analyzed. GARP FRM Official Textbooks, Part II. s Propios 11

12 LIQUIDITY RISK MANAGEMENT Carácter (Obligatoria/Optativa) OP Liquidity risk refers to the loss due to the impossibility or difficulty in performing a particular trade or executing a specific decision. Liquidity risk is so important that some consider that it should be the main focus of regulation, which has generally put a higher emphasis on market and credit risk. In this course we analyze the tools that can be employed to measure and manage liquidity risk. After providing basic definitions and examples where liquidity has proven important, we introduce concepts such as Liquidity Adjusted Value at Risk and Liquidity at Risk. We then motivate the different sources of liquidity risk as well as the concepts of leverage, collateral and transactions cost in the context of liquidity risk. The last part of the subject is devoted to the treatment that the recent regulation gives to the treatment of liquidity risks. Shyam Venkat and Stephen Baird (2016): Liquidity Risk Management: A Practitioner's Perspective. Wiley. s Propios 12

13 ENTERPRISE RISK MANAGEMENT Carácter (Obligatoria/Optativa) OP Enterprise Risk Management provides a framework to view all the risks that a firm may face in in integrated manner. The purpose of this subject is twofold: to provide tools to understand and develop such framework and to analyze particular models that can be applied in specific situations. In particular, we will analyze how to create an adequate ERM framework that allows to identify, assess, prevent and mitigate risks as well as to provide insurance, recovery, auditing and control of such risks. In the second part of the subject we analyze a variety of tools and situations which have not been covered in other subjects. Particularly we consider reputation risks, moral hazard risks and behavioral risks. The course finishes with a quantitative description of particular methodologies (e.g. risk scoring) that can be employed to measure the overall risk exposition in organizations. James Lam (2017): Implementing Enterprise Risk Management: From Methods to Applications, Wiley s Propios 13

14 SYSTEMIC RISK, RISK TRANSFER AND CONSOLIDATION Carácter (Obligatoria/Optativa) OP Systemic risk is the possibility that an event at a company level can trigger a great instability or collapse an entire industry or economy. In this subject we provide an overall review of the basic concepts and definitions associated to systemic risks as well as the assessment and treatment of this kind of risk In the second part of the subject we analyze the Globally Systemically Important Financial Institutions (G-SIFIs) understood as banks, insurance companies or other financial institutions whose failure might trigger a financial crisis. To overcome the risks of such institutions, regulators have put into practice additional requirements such as higher capital buffers, resolvability and other supervisory expectations, which are analyzed in the subject. Finally we provide an overview of the International frameworks and associated risks. Aron Gottesman y Michael Librock (2018): Understanding Systemic Risk in Global Financial Markets. Wiley s Propios 14

15 FOUNDATIONS OF RISK MANAGEMENT Carácter (Obligatoria/Optativa) OP This subject analyzes some of the topics not covered in other subjects of the Master but which are required for candidates to the FRM Level I Certification. We analyze, among others Basic risk types, measurement and management tools, creating value with risk management the role of risk management in corporate governance, Financial disasters and risk management failures, Data aggregation and risk reporting and Ethics and the GARP Code of Conduct. GARP FRM Official Textbooks, Part I. s Propios 15

16 INTEGRATED RISK MANAGEMENT Carácter (Obligatoria/Optativa) OP This subject analyzes some of the topics not covered in other subjects of the Master but which are required for candidates to the FRM Level I Certification. We analyze, among others the Principles for sound operational risk management, the Model risk and model validation, Economic capital frameworks and capital planning, Failure mechanics of dealer banks, Stress testing banks, Third-party outsourcing risk and Risks related to money laundering and financing of terrorism. GARP FRM Official Textbooks, Part II. s Propios 16

17 CURRENT ISSUES IN FINANCIAL MARKETS Carácter (Obligatoria/Optativa) OP This subject covers some of the materials of the FRM Level II Certification not covered in other subjects of the Master so that, in conjunction with other subjects, the student is exposed to all the concepts of such certification. We analyze, among others Cyber risk, Artificial intelligence (AI), machine learning and big data, the Fintech Revolution, Central clearing and risk transformation and Secured Overnight Financing Rate (SOFR). GARP FRM Official Textbooks, Part II. s Propios 17

18 RISK-BASED CAPITAL AND BUFFERS Carácter (Obligatoria/Optativa) OP Créditos (1 ECTS=25 horas) 6 Número de horas presenciales/on-line asistencia profesor 42 Número de horas de trabajo personal del estudiante 108 Total horas 150 Risk-based capital requirement refers to rules establishing a minimum regulatory capital for financial institutions. These requirements are settled to protect financial firms, investors and all the Financial System. Basically, these requirements consist on rules to financial institution to demonstrate that they have enough capital on hand to sustain operating losses while maintaining a safe and efficient market. In this subject we analyze the essential issue of Capital Planning in Financial Institutions. The Internal Capital Adequacy Assessment (ICAAP, for short) established under Pillar 2 of the Basel II Accord, and extensions, is analyzed. Finally we move to the important point of examining the different Capital Buffers that have been proposed after Basel III to reduce the pro-cyclical nature of lending. Diversos Informes del Comité de Basilea de Supervisión Bancaria. s Propios 18

19 TECHNOLOGICAL RISK Carácter (Obligatoria/Optativa) OP Technology is ubiquitous in any organization. Surprisingly, technological risk has received, in general, little or no attention by the Regulator and companies and even common risk such as the ones related to Security and Authorization are poorly regulated and assessed. The objective of this course is to provide a taxonomy, as general as possible, of the technological risks that corporations face (particularly in the financial sector) and the methods and tools that have been proposed to identify and assess such risks. After reviewing some of the most recent trends in technology, such as virtualization and cloud computing, social media, mobile and BYOD access, etc. we provide a catalog of tools and examples that can be employed to mitigate Technological Risk under the COSO Internal Control Integrated framework and the COSO Enterprise Risk Management framework. In the last part of the course we focus on analyzing how to develop a technology risk governance structure and the problems of its implementation, and finally we focus on competitive intelligence and best practices in the Industry. Patrick McConnell (2017); Strategic Technology Risk. Risk Books. s Propios 19

20 FINAL PROJECT Carácter (Obligatoria/Optativa) OB Créditos (1 ECTS=25 horas) 6 Número de horas presenciales/on-line asistencia profesor 42 Número de horas de trabajo personal del estudiante 108 Total horas 150 The Research Proposal consists on a critical evaluation of one of the models, techniques or situations presented in any of the courses of the Master or an empirical analysis using real data. The research is done under guidance of a tutor who firstly approves the plan, objectives and resources for the investigation and then follows the work of the student according to such plan. At the end of the research period the student has to produce a document (according to a specific format that will be provided) that summarizes the results of the research. Finally, a committee, after reading the document, may ask the student for specific details of the research. Presentation and defense (on-line) of a Final Project in close relation with one or several subject of the Master. Dependiendo del contenido alguna o algunas de las referencias anteriormente indicadas s Propios 20