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Corporate Risk Management - MAN00138M

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  • Department: The York Management School
  • Module co-ordinator: Dr. Helena Pinto
  • Credit value: 20 credits
  • Credit level: M
  • Academic year of delivery: 2023-24

Module will run

Occurrence Teaching cycle
A Semester 2 2023-24

Module aims

In this module we consider how we can best manage the diversity of financial, operational, reputational and sustainability risks faced by the modern firm.

In the first part of the module, we introduce the concepts of risk and uncertainty and examine what this means for the firm, its owners and other corporate stakeholders. We survey the principal forms of risk faced by the modern firm and consider how these risks are measured and managed. We draw lessons from case studies of risk management failure about how risk can be better managed in future.

In the second part of the module, we study in more detail how risks relate to solvency and capital. We examine the aims of risk-based capital regulation in industries such as banking and insurance. We introduce quantitative risk modelling techniques for determining capital contributions, particularly for financial risks. We learn about widely used methodology such as value-at-risk (VaR) models and historical and Monte Carlo simulation.

Module learning outcomes

After successful completion of the module students will be able to:

Subject content

  1. Explain what is meant by risk and uncertainty and how these impact firms, their owners and other corporate stakeholders.

  2. Outline the principal forms of risk faced by the modern firm (including financial, operational, reputational and sustainability risks) and explain how these risks are measured and managed.

  3. Describe the relationship between risk, solvency and capital and the role of risk-based capital regulation in industries such as banking and insurance.

  4. Explain the principal quantitative risk modelling techniques that are used for financial risks, including value-at-risk (VaR), historical simulation, Monte Carlo simulation and stress testing.

  5. Carry out stylized value-at-risk (VaR) calculations using data on financial market risks.

  6. Use case studies to illustrate failures of risk management in the past and to explain how risks can be better managed in future.

Academic and graduate skills

  1. Demonstrate advanced subject specific knowledge and understanding of corporate risk management;

  2. Show cognitive skills by engaging in self-study and completing open-ended assessment tasks such as analysis of case studies;

  3. Deploy analytical skills by undertaking financial risk calculations;

  4. Show communication skills via written assignments, online discussion boards and active participation in group work;

  5. Conduct research into financial risk issues by collecting, analysing and synthesising case-study material on risk management failures.

Module content

  1. Risk, uncertainty, randomness

    1. Definitions

    2. A short history of risk

    3. Relevance of risk to (i) the firm and its owners (ii) other corporate stakeholders.

    4. Measurement and management of risks

  2. A taxonomy of risk

    1. Financial risks: market risk, credit risk, liquidity risk

    2. Operational risk

    3. Reputational risk and other risks including emerging risks

  3. Case studies in risk management

    1. Some notable failures of risk management and their causes

    2. Drawing lessons from case studies

    3. Group case study assignment

  4. Relationship of risk to capital

    1. Assets, liabilities, value, loss, capital buffers

    2. Risk-based capital regulation in banking and insurance

  5. Introduction to quantitative risk management

    1. The value-at-risk (VaR concept)

    2. VaR calculation methods for financial market risks (variance-covariance, historical simulation, Monte Carlo)

    3. Methods for credit risks

    4. Stress testing

Assessment

Task Length % of module mark
Essay/coursework
Essay : Open assessment comprising unseen essay question(s) and a quantitative task.		 N/A 50
Groupwork
Group work : A group project based on case study development		 N/A 50

Special assessment rules

None

Reassessment

Task Length % of module mark
Essay/coursework
Essay : Resubmission of open assessment		 N/A 50
Essay/coursework
Essay : Resubmission of the case study		 N/A 50

Module feedback

Feedback will be given in accordance with the University Policy on feedback in the Guide to Assessment as well as in line with the School policy.

Indicative reading

  • Risk Management and Financial Institutions; John Hull; Wiley 2018

  • Quantitative Risk Management; Concept, Techniques and Tools; Alexander J. McNeil, Rüdiger Frey and Paul Embrechts; PUP 2015 (2nd edition)


The information on this page is indicative of the module that is currently on offer. The University is constantly exploring ways to enhance and improve its degree programmes and therefore reserves the right to make variations to the content and method of delivery of modules, and to discontinue modules, if such action is reasonably considered to be necessary by the University. Where appropriate, the University will notify and consult with affected students in advance about any changes that are required in line with the University's policy on the Approval of Modifications to Existing Taught Programmes of Study.