Program Outline

 Program Outline

Brief Description of the Program

 

SEMESTER A
ECTS
Empirical Finance 7
Foundation of Finance 7
Physical Energy Commodities and Electricity Markets 7
Regulations and Ethics in Finance 2
TOTAL 30
SEMESTER B ECTS
Risk Management in Banking 7
Fixed Income and Derivatives Securities 7
Energy Finance 7
Seminars from Professionals 3
Elective 3
Elective 3
TOTAL 30
Electives in Risk Management Major ECTS
Modelling with Excel and Matlab 3
Asset Management 3
Trading Strategies in Equity, bond, Commodities and FX Markets 3
Solvency – Risk Management for Insurance Companies 3
Electives in Energy Risk Management Major ECTS
Operational Risk Management for energy Companies 3
Contemporary issues in  Energy 3
Global Renewable Energy  Generation 3
Energy Derivatives 3
SEMESTER C ECTS
Dissertation 15

 


Semester A 


 

 Empirical Finance. Required.

Brief Description 
This module lays the foundation of general statistical principles and focus on economic and financial applications. It includes probability, distributions, confidence intervals, regression analysis, volatility modelling and panel data analysis. The students are expected to understand and apply the major financial econometric concepts and techniques. They should also be able to interpret the econometric results  and apply them in investment banking and asset management.

 Topics

 Statistical Concepts,  Probability Distributions, Statistical Inference, Estimation and Hypothesis Testing,  Correlation, and General Dependence, Measures, Linear Regression,  Multiple Linear Regression,  Modelling in Excel,  Logistic Regression,  Univariate Time Series Modelling,  Multivariate Modelling,  Cointegration,  Volatility and Correlation,  Extreme Value Theory,  Panel Data Analysis,  Monte Carlo Simulation 
Method of Assessment 
One coursework assignment, contributing 30% of the final mark.  A multiple choice opened book midterm examination, contributing 30% of the final mark. A multiple choice closed book examination, contributing 40% of the final mark.

Readings

 Brooks, C. (2008) Introductory Econometrics for Finance, 2nd edition, Cambridge University Press.

Tsay, R. (2010) Analysis of Financial Time Series, 3rd Edition, Wiley-Blackwell.

Greene, W.H. (2011) Econometric Analysis, 7th Edition, Pearson.

Alexander, C. (2008) Market Risk Analysis: Practical Financial Econometrics, Wiley.

 

 Foundations of Finance. Required.

Brief Description

This module introduces students to the fundamental tools of modern corporate finance and asset valuation. It focuses on the concept of the present value rule and how it can be used to value stocks and plain vanilla bonds. It introduces mean-variance portfolio, the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), the Multifactor Asset Pricing Models and discusses the efficient market hypothesis. It discusses the capital budgeting problem and how the firms can finance the undertaken projects. Finally, it introduces the students to the financial statement analysis.

Topics

The Financial Markets, Investment Appraisal Techniques and Decisions ( NPV, IRR,  MIRR, PI), Portfolio Theory,  The Capital Asset Pricing Model,  Stock Market Efficiency,  Capital Structure,  Dividend Policy,  Financial Statement Analysis,  Simulation. 
Method of Assessment 
One coursework assignment, contributing 30% of the final mark.  A multiple choice opened book midterm examination, contributing 30% of the final mark. A multiple choice closed book examination, contributing 40% of the final mark.

 Readings

Brealey, R., Myers S., & Allen F. Principles of Corporate Finance. 10th Edition. McGraw Hill.

 

 

 Financial Institutions Management. Required.

Brief Description

This module lays the foundation of Financial Institutions Management. The course focuses on managing return and risk in modern financial institutions (commercial bank, savings bank, investment bank, insurance company). Each sector’s product is analyzed and emphasis is placed on new areas of activities such as asset securitisation, off-balance-sheet banking and international banking.

Topics

The Importance of Financial Institutions,  Depository Institutions, Insurances, Security brokerage and Investment Banking, Mutual Funds and Hedge Funds,  Finance Companies, Interest Rate Risk,  Market Risk, Credit Risk,  Off-Balance Risk, Foreign Exchange Risk,  Sovereign Risk, Operational Risk,  Liquidity Risk, Liability Management, Future, Forwards, Options, Swaps 
Method of Assessment 
One coursework assignment, contributing 30% of the final mark.  A multiple choice opened book midterm examination, contributing 30% of the final mark. A multiple choice closed book examination, contributing 40% of the final mark.

Readings

Sauders, A., & Cornett, M. Financial Institutions Management: A Risk Management Approach. 8th Edition. McGraw Hill.

Hull, J. Risk Management and Financial Institutions, 4th Edition

 

 Physical Energy Commodities and Electricity Markets. Required.

 Brief Description

The aim of this course is to provide a solid background and the fundamentals for the understanding of the oil, gas, electricity and coal markets, by employing a non-technical approach. It provides the basis upon which the various risk management concepts that are applied in the energy markets are developed during the course. It puts emphasis on the upstream oil and gas operations, the crude oil pricing system, the gas and coal price formation and the global LNG trade. Further it introduces the power system economics and coal markets.

Topics

Reserve estimation and reporting, Mineral rights ownership,  Fiscal systems applied in global production,  Global crude oil benchmarks, natural gas and coal markets and price formation, Petroleum & Natural gas transportation and storage,  Crude oil refining processes, products and economics,  Economics of power generation and dispatch,  Analytical tools for electricity markets,  Greece’s National Electricity Market 
Method of Assessment 
One coursework assignment, contributing 30% of the final mark.  A multiple choice opened book midterm examination, contributing 30% of the final mark. A multiple choice closed book examination, contributing 40% of the final mark.
Readings

Chandra, V. (2006). Fundamentals of Natural Gas: An International Perspective, PennWell.

Hilyard, J. (2012). The Oil and Gas Industry: A Non-Technical Guide, PennWell.

Inkpen, A & Moffett, M. (2012). The Global Oil and Gas Industry: Management, Strategy and Finance, PennWell.

Wright, C. and Gallun, R. (2008). Fundamentals of Oil & Gas Accounting, 5th Edition, PennWell.

Kaminski, V. (2012). Energy Markets, Risk Books.

Kirschen, D. & Strbac, G. (2004). Fundamentals of Power System Economics, John Wiley & Sons.

 

 Regulation and Ethics in Finance. Required. 
Brief Description

The course focuses on ethical issues concerning business and financial decisions. Specifically, it describes the responsibility of each GARP member with respect to professional integrity, ethical conduct, conflicts of interest, confidentiality of information and adherence to generally accepted practices in risk management and points out the potential consequences of violating the GARP Code of Conduct. Finally it describes the Markets in Financial Instruments Directive (MIFID).

Topics

Principles, Professional Standards  Rules of Conduct, Fundamental Responsibilities,  General Accepted Practices,  Applicability and Enforcement,  MIFID. 
Method of Assessment

One multiple choice closed book examination

Readings

GARP Code of Conduct

MIFID I, II

Theodore Roosevelt MallochJordan D. Mamorsky . (2013). The End of Ethics and A Way Back: How To Fix A Fundamentally Broken Global Financial System. Wiley. 

 

 


Semester B


 

 Risk Management in Banking. Required.

Brief Description

The aim of this course is to provide a sound understanding of the basic principles of risk management, with an emphasis on financial firms and provides the core body of knowledge for financial risk managers. It explains why Risk Management is important for financial institutions by presenting cases of financial disasters. It presents the various methodologies to compute VaR and how we can evaluate them. It puts emphasis on credit, operational and integrated risk management. Finally it analyses the Basel Accords.

Topics

The Need for Risk Management,  Lessons from Financial Disasters, Computing VaR,  Backtesting VaR, VaR Methods,  Liquidity Risk, Stress Testing,  Using VaR to measure and Control Risk,  VaR and risk Budgeting in Investment Management,  Credit Risk Management,  Operational Risk Management,  Integrated Risk Management,  Basel Accords
Method of Assessment
One coursework assignment, contributing 30% of the final mark.  A multiple choice opened book midterm examination, contributing 30% of the final mark. A multiple choice closed book examination, contributing 40% of the final mark.
Readings

Jorion, C. (2006). Value at Risk, McGraw-Hill.

Christoffersen, P. (2011). Elements of Financial Risk Management, Academic Press.

Bessis, J. (2009) Risk Management in Banking, 3rd Edition, John Wiley and Sons.

Crouhy, M., Galai, D., & Mark, R. (2014). The Essential of Risk Management,

Hull, J. Risk Management and Financial Institutions, 4th Edition

 

 Fixed Income and Derivative Securities. Required.

 Brief Description

Fixed income and Derivatives Securities course deals with the valuation of simple and complex securities. The first part of the course focuses on the fixed income securities. It presents the basic concepts of fixed income securities (valuation, duration and convexity). It also discusses the characteristics of corporate bonds, mortgage-backed securities and how rating agencies grade the bonds. In the second part students focus on the derivative securities (Futures, Forward, Options, Swaps, Credit Default Products and Structured Products) and how they can be used in order to hedge the underlying positions.

Topics

Exchange Markets,  Bond Characteristics,  Valuation of Bonds,  Duration and Convexity of Bonds,  Hedging with Bonds,  FX Futures, Forwards and Options,  Option prices, sensitivities and empirical evidence,  Valuation of Options,  Exotic Options,  Interest Rate Futures, Forwards and Swaps,  Convertible Securities,  Caps, Floors and Swaptions,  Credit Derivatives,  Structured Credit Products (MBS, CDO, ABCP)

Method of Assessment

One coursework assignment, contributing 30% of the final mark.  A multiple choice opened book midterm examination, contributing 30% of the final mark. A multiple choice closed book examination, contributing 40% of the final mark.

Readings

Hull, John .C. (2011) Options, Futures and Other Derivatives, 8th edn., Prentice Hall.

Fabozzi, F., & S., Mann. The Handbook of Fixed Income Securitie, 8th edn.

Tuckman, 2011, "Fixed income securities: tools for today's markets" 

 

 Energy Finance. Required.

Brief Description

This module aims to provide students with an understanding of financial decision making in the context of the energy industry.

The course focus on how energy commodity exchanges function, the respective instruments commonly used, the development cycle of oil

 and gas projects and the accounting of international petroleum operations, as well as the mechanics of carbon trading and 

the operation of the EU-Emissions Trading Scheme (ETS).

Topics

Commodity Forwards and Futures, Capital budgeting in energy companies: real options analysis,  Financial Statement Analysis for Oil and Gas Companies, 

 Oil & Gas Project Development,  Financing of energy companies, Energy markets, instruments and exchanges,  Trading in energy markets, 

 Carbon trading, Country Risk Assessment

Method of Assessment

One coursework assignment, contributing 30% of the final mark.  A multiple choice opened book midterm examination, contributing 30% of the final mark. 

A multiple choice closed book examination, contributing 40% of the final mark.

Readings

McDonald, R. (2013).  Derivatives Markets, Addison-Wesley.

Simkins, B. & Simkins, R. (2013). Energy Finance and Economics: Analysis and Valuation, Risk Management, and the Future of Energy, Wiley.

Wright, C. & Gallun, R. (2008). Fundamentals of Oil & Gas Accounting, 5th Edition, PennWell.

Kaminski, V. (2012). Energy Markets, Risk Books.

Larry Parker. Climate Change and the EU-Emissions Trading Scheme (ETS): Looking to 2020, U.S. Congressional Research.

Inkpen, A & Moffett, M. (2012). The Global Oil and Gas Industry: Management, Strategy and Finance, PennWell.

Wagner, D. (2012). Managing Country Risk, CRC Press.

Degiannakis, S. and Floros, C. (2015). “Modelling and Forecasting High Frequency Financial Data", Palgrave - MacMillan Ltd., Hampshire.

E. Xekalaki and S. Degiannakis. (2010).  “ARCH Models for Financial Applications", John Wiley & Sons Ltd., New York.

Degiannakis, S. G. Filis and R. Kizys. (2014). “The effects of oil price shocks on stock market volatility: Evidence from European data“,The Energy Journal, 35(1), 35-56.
Degiannakis, S., Fils, G., Floros, C. (2011). Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries“,

International Review of Financial Analysis, 20(3), 152-164

 

Seminars from Professionals. Required. 
Brief Description
This module aims to link theory with practice. Practitioners with exceptional academic profile will present the day-to-day practice of Risk Management
in order to offer their expertise to the students. 

Topics

Credit Value-at-Risk, Operational Risk Management,  Asset Allocation and Risk Control,  Fundamental Trading,  Energy Trading

Method of Assessment

One multiple choice opened book examination. 

Readings

The required notes will depend on the specific topics the professionals will cover.

 

 Modelling with Excel and Matlab. Elective.

Brief Description

This module provides the student with the necessary statistical tools in Excel and Matlab for applying real world conditions in risk management and investment portfolio management. The module presents the advanced modelling features in Excel followed by advanced applications in financial management, introduces the VBA programming environment and VBA user-defined functions and introduces the Matlab environment and the features of Matlab programming. Covered topics include risk modelling, testing investment strategies and constructing optimal portfolios.

Topics

Statistical Analysis, VBA, Matlab Toolboxes,  Programming in Matlab

Method of Assessment

The assessment will consist of one examination in the computer lab of the university.
Readings

Excel Tutorial

Matlab Tutorial

 

 Asset Management. Elective. 
Brief Description
The course presents a comprehensive, new approach to the problem of  investing. It focusses on factor investing and the students are expected to understand the economics behind factor risk premiums, how to harvest them efficiently and whether to embark on the search for true alpha.

Topics

Mean-Variance Investing, Investing for the Long Run,  Factor Theory, Factor Investing

Method of Assessment

One coursework assignment, contributing 50% of the final mark.

A multiple choice closed book examination, contributing 50% of the final mark.

Readings

Ang, A. 2014. Asset Management: A Systematic Approach to Factor Investing.

Zvi Bodie, Alex Kane, Alan J. Marcus. 2010. Investments, 10th Edition 

 

 Trading Strategies in Equity, Bond, Commodity and FX Markets. Elective.

 Brief Description

The course presents the market “anomalies” in equity, fixed income, commodity and foreign exchange markets. It is a practical course as the students will be familiarized with the most known market “anomalies” and in their project will understand how they can be applied.

Topics

Small cap premium, Value premium,  Momentum Premium, Low-risk premium

Method of Assessment

The assessment will consist of one coursework assignment.

Readings

Asness, C., T. Moskowitz and L. Pedersen, 2013, “Value and Momentum Everywhere”, Journal of Finance, 68, 929-985.

Blitz, D. and van Vliet, P., 2008, “Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes”, The Journal of Portfolio Management, 23-38.

Cakisi, N., F. Fabozzi and S. Tan, 2012, “Size, Value, and Momentum in Emerging Market Stock Returns”, Working paper, Fordham University.

Dimson, E., P. Marsh, and M. Staunton, 2002, Triumph of the Optimists: 101 Years of Global Investment Returns, Princeton University Press.

Frazzini, A. and L.H. Pedersen. 2013. Betting against Beta. Journal of Financial Economics 111 1-25.

Fama, E. and K. French, 1992, “The Cross Section of Expected Stock Returns”, Journal of Finance, 47, 427-465.

Fama, E. F., & French, K. R., 1993, “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics, 33, 3−56.

Fama, E., and K. French. 2012. Size, Value, and Momentum in International Stock Returns. Journal of Financial Economics 105 457-472.

 

 Operational Risk Management for Energy Companies. Elective.  
Brief Description

Enterprise Risk Management (ERM) provides a holistic approach of risks across an organization. In the energy industry, we normally observe a focus on core commodity exposures and sophisticated models used to define and execute hedging strategies. However, we also observe a bias toward focusing on those risks that are relatively easy to quantify (such as trading-related risks) while treating other risks (such as operational risk) in a comparatively superficial way. To counteract this bias, energy companies should foster a dedicated network of risk practitioners and ensure common risk-management standards throughout the organization. Furthermore, it is essential that operational risk (OR) is managed more systematically and consistently, as currently consists of the most critical risk faced in the oil and gas industry. The aim of this course is exactly to promote and emphasize the role, criticality and significance of establishing a solid OR management function within an energy company.

Topics

Enterprise risk management (ERM) framework, Risk appetite and risk tolerance,  Quantitative and qualitative risk metrics, Key Risk indicators (KRI),  Risk and Control Self-Assessment (RCSA),  Heat maps and MARCI (Mitigate, Assure, Redeploy, and Cumulative impact)

Method of Assessment

One coursework assignment, contributing 50% of the final mark.

A multiple choice closed book examination, contributing 50% of the final mark.

Readings

Fraser, J. & Simkins, B. (2010). Enterprise Risk Management: Today’s Leading Research and Best Practices for Tomorrow’s Executives, John Wiley & Sons.

COSO, “Developing Key Risk Indicators to Strengthen Enterprise Risk Management.” (December 2010).

COSO, “Understanding and Communicating Risk Appetite.” (January 2012).

COSO, “Risk Assessment in Practice.” (October 2012).

 

 Contemporary issues in Energy. Elective.

 Brief Description
Global energy risk managers must remain abreast of evolving regulation and new developments in energy markets to effectively manage risk in their businesses. The “Contemporary Issues” course is designed to familiarize students with current trends that are likely to have a long-term impact on the global energy markets. Emphasis is given to the current developments related to oil & gas offshore exploration, extraction and management in the Eastern Mediterranean and Ionian Sea. 

Topics

Energy Geo-economics, EU’s 2020 energy strategy: The eight priority corridors,  Europe’s Energy Security: Options and Challenges to Natural Gas Supply Diversification,  Oil and gas perspectives in Eastern Mediterranean and the Ionian Sea, Games Theory and Exclusive Economic Zones,Climatic Change

Method of Assessment

The assessment will consist of one coursework assignment.

Readings

Selection of scientific articles on the topics covered from various international energy organizations.

World Economic Forum Annual Meeting 2015. The Geo-Economics of Energy, http://www.weforum.org/sessions/summary/geo-economics-energy

European Union, Directorate-General for Energy (2012). Connecting Europe: The Energy infrastructure for tomorrow.

European Union, Directorate-General for Energy (2014). Energy infrastructure priorities for 2020 and beyond.

Lygeros, N. Greek Exclusive Economic Zone (EEZ)and Strategy, http://elliniki-aoz.blogspot.com.cy/

Kontakos, P., Zhelyazkova, V. (2015). Energy infrastructure projects of common interest in the SEE, Turkey & Eastern Mediterranean. In Energy Systems and Management, Chapter 25, ed. A. N. Bilge, A. Ö. Toy and M. E. Günay, Istanbul Bilgi University - Palmet, Istanbul: Springer International Publishing.

NASA. Climate Change and Global Warming, http://climate.nasa.gov/

 

 Global Renewable Energy Generation. Elective.

 Brief Description

The course aims to introduce the factors that impact the economics of nuclear, wind, solar and hydropower power generation and compare the economics of their various types. Also, to compare and contrast the various renewable energy generation technologies and systems applicable in each case. Current developments and issues with a regional perspective are also discussed (Greece, SEE, Europe).

Topics

Nuclear energy, Solar energy, Wind energy,  Hydropower, Current regional developments and issues

Method of Assessment

The assessment will consist of one coursework assignment.

Readings

Nuclear Energy Agency. (2012). Nuclear Energy Today, Second Edition.

Intergovernmental Panel on Climate Change (IPCC). IPCC Special Report on Renewable Energy Sources and Climate Change Mitigation.

European Union, Directorate-General for Energy (2014). Energy infrastructure priorities for 2020 and beyond.

 

Solvency - Risk Management for Insurance Companies Elective. 
Brief Description

The aim of this course is to provide a sound understanding of the basic principles of risk management for insurance companies with an emphasis on Solvency II and alternative methodologies. It provides the core body of knowledge for an insurance risk manager. It explains the main principles of Solvency II, step by step and presents cases studies of calculation of technical provisions for life and nonlife insurance companies. It presents and compares the methodologies to compute capital requirements, from the simplest to the more sophisticated ones.

Topics

Solvency II, Capital Requirements,  Valuation of Insurance Liabilities,  Technical Provisions,  Dependence Structure,  Risk Measures,  Valuation Portfolio,  Underwriting Risk in NonLife, Life and Health Insurance
Method of Assessment

One coursework assignment, contributing 50% of the final mark.

A multiple choice closed book examination, contributing 50% of the final mark.

Readings

Sandström, A. (2005). Solvency: models, assessment and regulation, Taylor and Francis.

Sandström, A. (2011). Handbook of solvency for actuaries and risk managers: theory and practice, 

Chapman & Hall.

Wüthrich,  M. and M. Merz (2013). Financial Modeling, Actuarial Valuation and Solvency in Insurance, Springer.


 

Derivatives in Energy Markets. Elective.

Brief Description

This module provides a brief but comprehensive examination of the valuation and risk management of energy derivatives. The lectures cover various topics such as the behaviour of spot and forward prices, the pricing and hedging of energy derivatives using simple and advanced techniques and the risk management of energy derivative positions. The students will get familiar with the challenges in the turbulent energy markets and they will learn how to develop effective hedging strategies.

Topics

Fundamentals of Energy Markets, Risk and Players in Energy Markets, Spot and Forward Prices, Arbitrage Relations,Price Volatility in Energy Markets, Futures and Energy Options, Risk Management and Hedging Strategies, Speculation.

Method of Assessment

One coursework assignment, contributing 50% of the final mark.

A multiple choice closed book examination, contributing 50% of the final mark.

Readings

Errera, S. and S.L. Brown (2002) Fundamentals of Trading Energy Futures and Options 2nd Edition, Pennwell Pub

Mack, I.M (2014) Energy Trading and Risk Management: A Practical Approach to Hedging, Trading and Portfolio Diversification (Wiley Finance) 1st Edition, John Wiley & Sons Singapore

Mastro , M. (2013) Financial Derivative and Energy Market Valuation: Theory and Implementation in MATLAB 1st Edition, John Wiley & Sons Inc.

Pilipovic D. (2007) Energy Risk: Valuing and Managing Energy Derivatives 2nd Edition, McGraw-Hill Education

 


Semester C


Dissertation

The submission deadline for MSc theses is September 10. The theses will be examined either in October or November.

MSc in Risk Management

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