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24.EP02.TOTC1120 - Quantitative Risk Managent 1 - 2023 - Syllabus
24.EP02.TOTC1120 - Quantitative Risk Managent 1 - 2023 - Syllabus
24.EP02.TOTC1120 - Quantitative Risk Managent 1 - 2023 - Syllabus
COURSE SYLLABUS
(Issued attached Decision of NEU’s President, , , 2023)
1. COURSE INFORMATION
* Title: Quantitative risk management 1 Code: EP02.TOTC1120
* Credits: 3 (45 credit hours; 1 credit hour = 50 minutes of lecture)
* Credit hours for teaching and learning activities:
+ Lecture: 30 hrs
+ Exercises on class: 9 hrs
+ Presentation and Discussion: 6 hrs
+ Exercise and discussion (Tutor): 15 hrs
+ Self-study: 90 hrs.
* Parallel course(s): None
* Prerequisite course(s): Introduction to Enterprise Risk Management
* Department conducting the course:
+ Faculty: Faculty of Economic Mathematics, R1106, 11th flr., Building A1, The
National Economics University, 207 Giai Phong Road, Hai Ba Trung District, Hanoi,
Vietnam.
+ Department: Financial mathematics
+ Lecturers:
1. PhD. Hoang Duc Manh Tel:0904633994 Email: manhhd@neu.edu.vn
2. MSc. Nguyen Thi Lien Tel:0914405609 Email: lientkt@neu.edu.vn
* Kind of the course:
Foundation □ Fundamental □
* Meeting hour:
2. COURSE DESCRIPTIONS
2
Quantitative risk management 1 is a specialized course for 3rd year student majoring in
Actuary. The broad knowledge points covered in Market Risk Measurement and Management
include the following: VaR and other risk measures (Parametric and non-parametric methods
of estimation, VaR mapping, Backtesting VaR, Extreme Value Theory (EVT)); Modeling
dependence: correlations and copulas; Stress testing and scenario analysis; Hedging.
Moreover, this course focuses on the Term structure models of interest rates. This course
consists of 9 chapters.
3. LEARNING RESOURCES
*Text Books/Lecture Notes:
+ Market Risk Measurement and Management book, garp.org/frm, 2023.
*Additional references:
+ https://www.garp.org/frm/study-materials
+ https://www.bis.org/
+ Bank for International Settlements. "Minimum Capital Requirements for Market Risk,"
January 2016.
+ Akhtar Siddique and Iftekhar Hasan, Stress Testing: Approaches, Methods and
Applications, 2013.
4. COURSE GOALS
Table 4. Course goals
MIT’
Goals Goals Description PLOs
level
[1] [2] [3] [4]
Provide learners with knowledge of Market Risk Measurement PLO4 3
G1
and Management
Provide learners with skills of Market Risk Measurement and PLO7 4
G2
Management PLO8
Create opportunities to practice teamwork skills; PLO11 3
G3 Initially equip learners with awareness of social context, PLO12
awareness of professional ethics and social responsibility
6. COURSE ASSESSMENT
* Assessment methods:
- Grading: 10
- Average score of course is the total points of rubrics multiplied by the respective
weight of each rubric
* Assessment summary:
Weighting
Assessments Rubrics CLOs Week
(%)
Formative assessment
CLO1.1
CLO1.2
Participant Rubric 1 CLO2.1 10% 1-15
CLO2.2
CLO3.2
Midterm assessment
CLO1.1
CLO1.2
CLO2.1
Group works Rubric 2 CLO2.2 14-15
CLO3.1
CLO3.2
CLO1.1
CLO1.2
Midterm exam Rubric 3 CLO2.1 9
40%
CLO2.2
Summative assessment
Weighting
Assessments Rubrics CLOs Week
(%)
CLO2.1
CLO2.2
CLO3.2
Rubric 1: Participant
Fair
Areas of Weighti Excellence Good Poor
4.0 – 6.4
assessment ng (%) 8.5 – 10 point 6.5 – 8.4 point 0 – 3.9 point
point
Presentatio 25% The presenter The presenter The The presenter was
n was especially was familiar presenter not familiar with
familiar with with the was enough the material and
the material and material and did familiar with read from slides
the material or rely on notes.
did not read not read from
and did not
from slides or slides or rely on The presenter
often read
rely on notes. notes. spoke not clear
from slides
or rely on enough to be
The presenter The presenter heard by the
spoke clearly spoke clearly notes.
audience.
and slowly and slowly The
The presenter
5
Fair
Areas of Weighti Excellence Good Poor
4.0 – 6.4
assessment ng (%) 8.5 – 10 point 6.5 – 8.4 point 0 – 3.9 point
point
enough to be enough to be presenter showed no
heard by the heard by the spoke enthusiasm for the
audience with audience. enough to be subject matter.
confident voice. heard by the
The presenter audience. The presenter
made no eye-
The presenter showed fair
The contact with
showed level of
presenter audience.
enthusiasm for enthusiasm for
showed a
the subject the subject little
matter and matter and enthusiasm
encouraged encouraged for the
audience audience subject
interest. interest. matter and
encouraged
The presenter The presenter audience
made eye- made eye- interest.
contact with contact with
audience audience. The
effectively. presenter
sometimes
made eye-
contact with
audience.
Design 20% Fonts, colors, Fonts, colors, Fonts, colors, Fonts, colors,
backgrounds, backgrounds, backgrounds, backgrounds, and
and other and other and other other decorations
decorations are decorations are decorations are inconsistent,
are and inappropriate
very effective, effective,
appropriate to the topic and
consistent, and consistent, and
to the topic audience.
appropriate to appropriate to
and
the topic and the topic and audience. Text is not clear
audience. audience. and easy for the
Text is clear audience to
Text is clear Text is clear for the follow.
and easy for the and easy audience to
audience to enough for the follow. No Animation
and other effect.
follow. audience to
Animation
follow.
Animation and and other
other effect are Animation and effect are
used effectively other effect are used.
6
Fair
Areas of Weighti Excellence Good Poor
4.0 – 6.4
assessment ng (%) 8.5 – 10 point 6.5 – 8.4 point 0 – 3.9 point
point
and do not used and do not
distract the distract the
audience. audience.
Presentation is Presentation is
free of spelling free of spelling
and and
grammatical grammatical
errors. errors.
Collaborati 10% The group The group Group Group did not
on worked very worked well communicat work well
well with each with each other ed relatively together. There
7
Fair
Areas of Weighti Excellence Good Poor
4.0 – 6.4
assessment ng (%) 8.5 – 10 point 6.5 – 8.4 point 0 – 3.9 point
point
other and the and well with a were obvious
presentation communicated few lapses miscommunicati
was shared well. Some in the ons and lapses in
equally among members presentation the presentation.
the group participated ; some
members. slightly more students
than others. dominated
the
presentation
and others
did not
participate
much.
7. COURSE OUTLINE
Table 7. Course outline
Required readings
Week Content CLOs Teaching-learning activities Assessment
text
[1] [2] [3] [4] [5] [6]
Read carefully the syllabus Rubric 1
Greeting and course introduction, its logic,
CLO1.1 provided (IU)
1 its role and position in the program Syllabus
CLO3.2 Lecture (T)
Homework 1 (U)
Chapter 1. Estimating market risk Homework 1 discussion (TU) Rubric 1
measures Market Risk Lecture (T)
1.1. Data Measurement and Homework 2 (U)
1.2. Estimating historical simulation VaR Management book,
1-2 CLO1.1
1.3. Estimating parametric VaR garp.org/frm, 2023,
1.4. Estimating coherent risk measures chapter 1.
1.5. Estimating the standard errors of risk
measure estimators
Required readings
Week Content CLOs Teaching-learning activities Assessment
text
[1] [2] [3] [4] [5] [6]
Chapter 3. Parametric Approaches - Market Risk Rubric 1
Extreme Value Measurement and
Management book, CLO1.1 Homework 3 discussion (TU)
3.1. Generalised extreme-value theory
5-6 garp.org/frm, 2023, CLO2.1 Lecture (T)
3.2. The peaks-over-threshold approach: the Homework 4 (U)
chapter 3.
generalised pareto distribution
Chapter 4. Backtesting VaR and Stress Market Risk CLO1.1 Homework 4 discussion (TU) Rubric 1
6-7 Testing Measurement and CLO1.2 Lecture (T)
4.1. Backtesting VaR
Management CLO2.1 Homework 5 (U)
book, CLO2.2
4.2. Stress Testing garp.org/frm,
CLO3.1
2023, chapter 4.
CLO3.2
Bank for
International
Settlements.
"Minimum
Capital
Requirements for
Market Risk,"
January 2016.
Akhtar Siddique
and Iftekhar
Hasan, Stress
Testing:
Approaches,
Methods and
11
Required readings
Week Content CLOs Teaching-learning activities Assessment
text
[1] [2] [3] [4] [5] [6]
Applications,
2013.
Required readings
Week Content CLOs Teaching-learning activities Assessment
text
[1] [2] [3] [4] [5] [6]
Market Risk Homework 7 discussion (TU) Rubric 1
Chapter 7. Financial correlation risk
7.1. Correlation Basics: Definitions, Measurement and Lecture (T)
Management book, CLO1.1 Homework 8 (U)
Applications, and Terminology
10 garp.org/frm, 2023, CLO1.2
7.2. Empirical Properties of Correlation
chapter 7, chapter 8, CLO2.1
7.3. Financial Correlation Modeling—
chapter 9. CLO2.2
Bottom-Up Approaches
Required readings
Week Content CLOs Teaching-learning activities Assessment
text
[1] [2] [3] [4] [5] [6]
8. LESSON PLAN
3-4 Chapter 2. Non-Parametric Market Risk Measurement and CLO1.1 Students have to read the Criteria: Attendance,
Approaches Management book, CLO2.1 related contents before Responding &
2.1. Estimation of historical garp.org/frm, 2023, chapter 2. coming to class Behavior
simulation VaR and ES Lecturer euips students Tools: Rubric 1
with theorical information Method: Attendance
2.1.1. Basic HS
Students have to discuss Check & Work
2.1.2. Bootstrapped HS
the circumstances and Assignment
2.1.3. Using Non-parametric
Density Estimation questions asked by the
2.2. Estimating confidence lecturer
intervals for historical
simulation VaR and ES
2.2.1. An order Statistics
approach
2.2.2. A bootstrap approach
2.3. Weighted historical
16
8 Chapter 5. VaR Mapping Market Risk Measurement and CLO1.1 Students have to read the Criteria: Attendance,
5.1. Mapping for risk Management book, CLO2.1 related contents before Responding &
measurement garp.org/frm, 2023, chapter 5. coming to class Behavior
5.1.1. The Lecturer euips students Tools: Rubric 1
mapping with theorical information Method: Attendance
process Student have to discuss Check & Work
the circumstances and Assignment
5.1.2. Example
5.2. Mapping fixed-income questions asked by the
portfolios lecturer
5.2.1. Mapping
18
Chapter 6. Messages from the Students have to read the Criteria: Attendance,
Academic Literature on Risk related contents before Responding &
Management coming to class Behavior
Lecturer euips students Tools: Rubric 1;
for the Trading Book
Market Risk Measurement and with theorical information Rubric 3
6.1. Selected lessons on var
Students have to discuss Method: Attendance
implementation Management book, CLO1.2
the circumstances and Check & Work
9 6.2. Incorporating liquidity garp.org/frm, 2023, chapter 6. CLO2.2
questions asked by the Assignment
6.3. Stress testing practices for
lecturer
market risk
6.4. Unified versus
compartmentalised risk
measurement
Mid-term test
19
11 Chapter 8. Empirical Market Risk Measurement and CLO1.1 Students have to read the Criteria: Attendance,
Approaches to Risk metrics Management book, CLO1.2 related contents before Responding &
and Hedging garp.org/frm, 2023, chapter 10. CLO2.1 coming to class Behavior
8.1. Single-variable regression- CLO2.2 Lecturer euips students Tools: Rubric 1
based hedging with theorical information Method: Attendance
8.2. Two-variable regression- Students have to discuss Check & Work
based hedging the circumstances and Assignment
8.3. Principal components questions asked by the
20
Criteria: Attendance,
CLO1.1 Responding &
Market Risk Measurement and Groups report and answer
CLO1.2 Behavior
Management book, questions
Present group exercise. CLO2.1 Tools: Rubric 2
14-15 garp.org/frm, 2023. Lecturer and class Method: Attendance
CLO2.2
members comments Check & Work
CLO3.1
CLO3.2 Assignment