Risk Capital and Enterprise Risk Management
This course develops quantitative models of risk capital, surveys approaches to integrated risk management and reviews prudential risk regulation.
CPE Credits: 7
This course is a component of:
Advanced Risk Management Professional Certificate
Prerequisite knowledge:
- Intermediate MS Excel skills (lookup functions, matrix multiplication, etc.)
- Knowledge of financial instruments (bonds, options, swaps, etc.)
- Familiarity with basic calculus and statistics (Freshman/Sophomore level)
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To make it even easier to learn, you can finance your program through Affirm.
Loans offered through Affirm are available in the U.S. and Canada.
Module 1: Risk Capital Allocation
- Definitions of risk- and economic capital
- Merton-Perold risk capital
- Risk capital as a risk management tool
- Risk budgeting
- Measures of risk-adjusted returns: RAROC, EVA
Module 2: The Bank Capital Debate
- Modigliani-Miller and banks
- Diamond-Rajan argument for financial fragility
- The Admati-Hellwig argument for more capital
- Debt overhang
Module 3: Regulatory Capital
- Motives for prudential risk regulation
- Systemic risk
- Evolution of the Basel capital requirements
- Leverage and liquidity constraints under Basel III
Module 4: Enterprise Risk Management
- Integrated risk management within financial institutions
- Aggregating financial and non-financial risks
- Designing effective risk management frameworks
- Best practices for risk governance