Required in stage
Optional in stage
First term
Second term
Both terms
Not organised
This year
Next year
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Prerequisites
Language of instruction
Duration
Identical coursesRisk and Portfolio Management (B-KUL-HMA97A)
Duchateau Stefan (coordinator) | Duchateau Stefan Aims
Upon completion of this course, the student can:
- describe methods for measuring and modifying risk exposures and factors to consider in choosing among the methods
- explain the use of VaR in measuring portfolio risk
- describe sensitivity risk measures and compare them to VaR
- describe risk measures used by banks, asset managers, pension funds and insurers
- explain the use of risk factors in asset allocation based on an investor’s objectives and constraints
- discuss strategic considerations in rebalancing asset allocations
- recommend and justify the asset allocation
- explain the roles that alternative assets play in a multi-asset portfolio
Previous knowledge
If you want to follow this course, it is advisable to have completed the following courses: Asset pricing and investment management.
Is included in these courses of study
Activities
6 ects. Risk and Portfolio Management (B-KUL-HMA97a)
Content
- Risk-identification
- Risk measurement & management of Market Risk (VaR, ES)
- Credit Risk
- Operational risk and systemic risk
- Risk aversion
- Asset allocation
- Performance attribution and evaluation
- Active portfolio management
- Hedge funds
Course material
- Investments (Bodie, Kane & Marcus)
- Additional material will be provided on Toledo
Evaluation
Evaluation: Risk and Portfolio Management (B-KUL-H75930)
Information about retaking exams
The features of the evaluation and determination of grades are identical to those of the first examination opportunity, as described in the tab 'Explanation'.