- Department: The York Management School
- Module co-ordinator: Dr. Helena Pinto
- Credit value: 20 credits
- Credit level: M
- Academic year of delivery: 2023-24
|A||Semester 2 2023-24|
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.
After successful completion of the module students will be able to:
Explain what is meant by risk and uncertainty and how these impact firms, their owners and other corporate stakeholders.
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.
Describe the relationship between risk, solvency and capital and the role of risk-based capital regulation in industries such as banking and insurance.
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.
Carry out stylized value-at-risk (VaR) calculations using data on financial market risks.
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
Demonstrate advanced subject specific knowledge and understanding of corporate risk management;
Show cognitive skills by engaging in self-study and completing open-ended assessment tasks such as analysis of case studies;
Deploy analytical skills by undertaking financial risk calculations;
Show communication skills via written assignments, online discussion boards and active participation in group work;
Conduct research into financial risk issues by collecting, analysing and synthesising case-study material on risk management failures.
Risk, uncertainty, randomness
A short history of risk
Relevance of risk to (i) the firm and its owners (ii) other corporate stakeholders.
Measurement and management of risks
A taxonomy of risk
Financial risks: market risk, credit risk, liquidity risk
Reputational risk and other risks including emerging risks
Case studies in risk management
Some notable failures of risk management and their causes
Drawing lessons from case studies
Group case study assignment
Relationship of risk to capital
Assets, liabilities, value, loss, capital buffers
Risk-based capital regulation in banking and insurance
Introduction to quantitative risk management
The value-at-risk (VaR concept)
VaR calculation methods for financial market risks (variance-covariance, historical simulation, Monte Carlo)
Methods for credit risks
|Task||Length||% of module mark|
Essay : Open assessment comprising unseen essay question(s) and a quantitative task.
Group work : A group project based on case study development
|Task||Length||% of module mark|
Essay : Resubmission of open assessment
Essay : Resubmission of the case study
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.
Risk Management and Financial Institutions; John Hull; Wiley 2018