Risk Management

Risk Management

  • Study programme and level:The joint doctoral study programme Governance and Economics in the Public Sector (third cycle)
  • 2nd year
  • 5 ECTS
  • Course type: Elective course
  • Lectures: 20
  • Seminar: 20
  • Other forms of study: 20
  • Individual work: 90
  • Lecturer: Saša Žiković, PhD

1. Objectives and competences


  • Use the most important knowledge and skills needed for successful economic analysis in the field of risk management.,
  • Distinguish the characteristics of different types of risks,
  • Apply econometric methods in evaluating risks,
  • Apply the tools needed for successful risk management.


  • Understanding the importance and role of risk management in modern business,
  • Understanding the newest methods and models in econometric modeling of risks,
  • Understanding advanced statistical and mathematical methods used in the field of risks management,
  • To be able to practically implement advanced statistical methods in measuring risks,
  • Understanding quantitative modeling and backtesting of models used in credit, market and operational risk measurement,
  • To critically evaluate characteristics, regulatory practices and risks in different markets,
  • Understanding the nature of risk and risk management by using modern financial tools and financial derivatives. 

2. Content (Syllabus outline)

  • Influence of financial risks on modern business, Regulatory framework for measuring and managing financial risks, Risk factors and probability distributions
  • Quantitative modeling of financial risks
  • Value at Risk (VaR) methodology
  • Expected shortfall (ES) methodology
  • Time series modeling

- Stationary time series models
- Non-stationary time series models
- ARCH/GARCH volatility models
- Extreme value theory

  • Credit risk measurement models

- structural models
- threshold models
- hybrid models
- Monte Carlo method

  • Market risk measurement models

- parametric models
- nonparametric models
- hybrid models

  • Operational risk measurement models

- basic indicator approach
- standardized approach
- advanced measurement approaches

3.  Readings

  • Žiković Saša: Market Risk in Transition Countries - Value at Risk Approach, University of Rijeka, Faculty of Economics, 2010.
  • Alexander Carol: Risk Management and Analysis, Volume 1: Measuring and Modeling Financial Risk. New York: John Wiley & Sons, 2000.
  • Allen Linda, Boudoukh, Saunders Anthony: Understanding Market, Credit, and Operational Risk: The Value at Risk Approach. Oxford: Blackwell Publishing, 2004.
  • Dowd Kevin: Measuring market risk. New York: John Wiley & Sons, 2005.
  • McNeil J. Alexander, Frey Rudiger, Embrechts Paul: Quantitative Risk Management; Concepts, Techniques and Tools. New Jersey: Princeton University Press, 2005.


4. Intended learning outcomes

This course contributes to a better understanding of the stochastic processes determining the processes, events, prices, volatilities and relations within the economy. The acquired competences and skills primarily include knowledge and understanding of global trends and experiences in the areas of measuring, modeling and managing risks, but also on statistical and mathematical modeling of stochastic processes in the markets.

5. Learning and teaching methods

  • Lectures and seminars in class room; individual study and research work of students.
  • Lectures – contemporary topics in the field of risk management are presented.
  • Seminars – students present topics and results of their research work.
  • Individual study for the exam.

6. Assessment

Research paper preparation and presentation 50%
Written exam 50%