Risk Management

mgehd2229  2022-2023  Mons

Risk Management
6.00 credits
30.0 h
None (at the master level)

The prerequisite(s) for this Teaching Unit (Unité d’enseignement – UE) for the programmes/courses that offer this Teaching Unit are specified at the end of this sheet.
Main themes
The goal of this course is to teach students the foundations of portfolio construction and performance measurement.
Key topics include:
- Return and risk measurement (for equity, fixed-income, and derivative portfolios)
- Portfolio construction and management techniques
- Performance attribution
- The principles of private wealth management (Wealth Allocation Framework)
Learning outcomes

At the end of this learning unit, the student is able to :

1 At the end of this course, students will be able to:
- calculate the risk and return of financial assets using a calculator and a spreadsheet;
- select the most apporpriate return and risk computation methods when evaluatinfg the portfolio management strategy followed by investor risk;
- analyze the composition of the portfolio held by wealthy individuals when making any necessary recommendation for change;
- assess the strengths and weaknesses of active and passive management strategies;
- construct and evaluate one's portfolio by selecting and combining several securities.
The course draws its content from the following list of study
- Portfolio Risk, Return, Planning and Construction
- Active Portfolio Management
- Portfolio Management Process and Investment Policy
- Alternative investments: Investing in Commodities, Real
Estate, Private Equity and Hedge Funds
- Private Wealth Management
- Portfolio Management for Institutional Investors
- Capital Market Expectations in Portfolio Management
- Economic Concepts for Asset Valuation in Portfolio
- Asset allocation
- Fixed-Income Portfolio Management
- Relative-Value Methodologies for Global Credit Bond
Portfolio Management
- Hedging Mortgage Securities to Capture Relative Value
- Equity Portfolio Management
- Alternative Investments Portfolio Management (Swaps,
Commodity Forwards and Futures)
- Risk Management for Strategies on Currencies, Forward
and Futures, Options, and Swaps
- Execution of Portfolio Decisions
- Monitoring and Rebalancing of Portfolios
- Evaluating Portfolio Performance
- Global Performance Evaluation
- Global Investment Performance Standards
Teaching methods
- Lectures based on Powerpoint presentations
- MCQs
- Excel applications
- Video tutorials
- Portfolio simulation
Evaluation methods
Written exam
  • John C. Hull , Risk Management and Financial Institutions, 5th edition, Wiley (2018) 
  • Frey and Mc Neil & Embrechts, Quantitative Risk Management: : Concepts, Techniques and Tools - Revised Edition, Princeton Series in Finance
Teaching materials
  • Slides en format pdf ou ppt
Faculty or entity

Programmes / formations proposant cette unité d'enseignement (UE)

Title of the programme
Learning outcomes
Master [120] in Management (shift schedule)

Master [120] in Management (shift schedule)