Enterprise Risk Management
- Credits: 4
- Ending: Examination
- Range: 2P + 2C
- Semester: summer
- Year: 2
- Faculty of Economic Informatics
Teachers
Included in study programs
Teaching results
The course Enterprise Risk Management provides a theoretical and practical guide to the application of the results of Enterprise Risk Management (ERM), including quantitative methods of risk measurement and modeling, with a focus on financial institutions.
Knowledge
Students will gain knowledge of the principles and tools of the ERM, the identification, analysis, evaluation, mitigation, monitoring and communication of risks at the enterprise level, as well as the regulatory frameworks of Solvency II and Basel III.
Competences
After completing the course Enterprise Risk Management, students are able to independently apply the main principles and techniques ERM in practical situations and analyze the consequences of risk on capital requirements, including regulatory capital requirements Solvency II and Basel III.
Skills
After completing the course, students are able to obtain the necessary information about risk management from available sources, classify and critically approach them, use theoretical knowledge in the analysis of various types of risks (especially market risk, credit risk, liquidity risk and underwriting risk) and clearly interpret and present the results achieved.
Indicative content
1. The concept and framework of Enterprise Risk Management (ERM) – basic concepts, principles and benefits of ERM. The structure of risk management and controls within an insurance company.
2. The role of regulators in ERM. Legal and regulatory frameworks Solvency II and Basel III. The role of credit rating agencies in the ERM.
3. ERM process. Identification, analysis, evaluation, mitigation, monitoring and communication of risks at the company level.
4. Risk identification. Definitions and concepts of risk. Risk classification.
5. Types of risks, including underwriting, market, credit and operational risks.
6. Risk measurement and modeling. Use of risk management models in the context of pricing, reserving, valuation of assets and liabilities and capital management.
7. Solvency and profitability of the insurance company and capital management. Consequences of risk on capital requirements, including economic and regulatory capital requirements.
8. Asset and Liability Management (ALM).
9. Risk aggregation methods.
10. Risk mitigation, risk mitigation techniques.
11. Risk monitoring and exposure. The importance of risk reporting to managers and other stakeholders.
12. Implications of risks on strategic planning and strategy selection.
13. Comprehensive use of the ERM in practical situations.
Support literature
1. Lam, J. (2014). Enterprise Risk Management. John Wiley.
2. Cipra, T. (2015). Riziko ve financích a pojišťovnictví: Basel III a Solvency II. Ekopress, Praha.
3. Páleš, M. a kol. (2021). Aktuárstvo. Vydavateľstvo Letra Edu, Bratislava.
4. Horáková, G. – Páleš, M. – Slaninka, F. (2015). Teória rizika v poistení. Vydavateľstvo Wolters Kluwer, Bratislava.
5. Chapman, R. J. (2015). Simple Tools and Techniques for Enterprise Risk Management. John Wiley.
6. Duckert, G. H. (2011). Practical Enterprise Risk Management. John Wiley and Sons, Inc., New Jersey.
Syllabus
1. The concept and framework of Enterprise Risk Management (ERM) – basic concepts, principles and benefits of ERM. The structure of risk management and controls within an insurance company. 2. The role of regulators in ERM. Legal and regulatory frameworks Solvency II and Basel III. The role of credit rating agencies in the ERM. 3. ERM process. Identification, analysis, evaluation, mitigation, monitoring and communication of risks at the company level. 4. Risk identification. Definitions and concepts of risk. Risk classification. 5. Types of risks, including underwriting, market, credit and operational risks. 6. Risk measurement and modeling. Use of risk management models in the context of pricing, reserving, valuation of assets and liabilities and capital management. 7. Solvency and profitability of the insurance company and capital management. Consequences of risk on capital requirements, including economic and regulatory capital requirements. 8. Asset and Liability Management (ALM). 9. Risk aggregation methods. 10. Risk mitigation, risk mitigation techniques. 11. Risk monitoring and exposure. The importance of risk reporting to managers and other stakeholders. 12. Implications of risks on strategic planning and strategy selection. 13. Comprehensive use of the ERM in practical situations.
Requirements to complete the course
30 % semester seminar work,
40 % written exam,
30 % oral exam.
Student workload
Total study load (in hours): 104 hours
26 hours of lectures,
26 hours of exercise,
13 hours preparation for exercise,
13 hours elaboration of a semester seminar work,
26 hours of self-study in preparation for the exam.
Language whose command is required to complete the course
slovak
Date of approval: 10.02.2023
Date of the latest change: 15.05.2022