Mr Domingos Romualdo

This course is compulsory on the MSc in Risk and Finance. This course is not available as an outside option.

This course is designed to expose students to the breadth of risk management thinking and approaches across different areas. The course material is divided into the following areas:

Section A. Risk and Regulation - Introduction and Overview: Sets out the problem of risk management and regulation. It formulates a general conceptual framework that can be used in devising solutions to risk either as a management problem or as a regulatory problem, or both.

Section B. Financial Market and Regulation - Discusses the role of regulation in the financial sector, bank competition and moral hazard; distinguishes prudential regulation of banks and the regulation of insurance and pensions; the tools of microprudential regulation; the challenges of assessment of systemic risk and macroprudential regulation.

Section C. Financial Risk Analysis - Examines issues in financial risk including risk and regulation in the insurance markets; tools of financial risk management, including diversification, hedging and capital provisions; risk measurement for financial instruments (market risk, value at risk); credit risk, ratings and credit derivatives; operational and business risk.

Section D: Strategy, Control and Risk in Organisations - Provides a strategic management perspective on risk analysis and management, including an examination of strategic visioning. Also considers: issues of enforced self-regulation as a method of risk management with reference to occupational health and safety regulation; risk management and decision making in organisations; enterprise-wide risk management and auditing.

Section E: Risk Analysis and the Psychology of Risk Bearing - Explores the meaning of risk as perceived by different agents; methods of dealing with risky situations; analysis of risk taking by groups, behavioural analysis of financial risk taking.

Section F: Possible Specific areas of risk analysis - 1) Liquidity and operation risks in exchanges; 2) Counter-party risks in the OTC markets, potential triggers for market failure; 3) Legal analysis of risk, conditions when legal risk exists and how it can be mitigated, legal tools to influence conduct.

22 hours of lectures in the MT. 22 hours of lectures in the LT.

12 hours of case discussion and classes, and 10 hours of practitioner seminars across MT and LT.

Students will be given weekly problem set assignments.

J. Hull, Risk Management and Financial Institutions. 2nd Edition.; S Dawson, Analysing Organisations (Macmillan, 1996); S French, Readings in Decision Analysis (Chapman and Hall, 1989); C Hood & D K Jones, Accident and Design (UCL Press, 1996); Jorion Value At Risk to 3rd Edition 2007 (McGraw Hill); M.Power. Organized Uncertainty: Designing a World of Risk Management (Oxford University Press, 2007); M.Fenton-O'Creevy, N.Nicholson, E.Soane and P. Willman, Traders: Risks, Decsions, and Management in Financial Markets (Oxford University Press, 2005); B A Turner & N F Pidgeon, Man-made Disasters (Butterworth-Heinemann, 1997). The Economics of Climate Change: The Stern Review (Cambridge University Press, 2007).

Exam (40%, duration: 2 hours) in the summer exam period.
Essay (50%, 10000 words) in September.
Class participation (10%).

A substantial (10,000 word essay) is an integral part of the course and represents 50% of the assessment. As part of the multi-disciplinary approach taken in the programme, students are actively encouraged to select topics that involve several of the relevant core competencies in an integrated way. Analyses of complex cases are suitable for this. However, conceptual and theoretical works are also welcome.