MSc in Applied Accounting and Auditing, Department of Accounting and Finance
This course examines financial risk management through the concept of Value at Risk (VaR) and its variations. It primarily focuses on the quantification of market and credit risks and the role of internal control within financial institutions.
The course covers the following key topics:
- Types of financial risks
- Market risks and the evolution of risk management
- Mathematical and statistical foundations of risk measurement
- Definition and estimation of VaR
- Parametric VaR estimation
- Monte Carlo simulation and historical simulation for VaR estimation
- VaR for portfolios and individual positions, including stocks, derivatives, and fixed-income securities
- Position mapping using vertices and principal components
- Model validation and stress testing
- Risk-adjusted performance measurement
- VaR in credit risk management
- Regulatory and operational framework for internal control
The course provides a comprehensive approach to risk management, integrating quantitative methodologies with real-world financial applications.