Course overview
This course examines the process and instruments used in treasury management and their application in managing risk. Issues will be examined from both a financial institution and non-financial institution perspective. The course begins with a general framework for how financial risk management contributes to firm value. The course then covers the measurement and management of market risks, credit risks, liquidity risks and operational risks with various approaches: value-at-risk, expected shortfall, default probabilities. Evolution of bank regulation prior- and post-crisis is discussed. The next part of the course examines the practice of integrated risk management to aggregate risks across enterprises and to use measures of firm-wide aggregated risk for various corporate decisions.