This course covers the integrated risk management approach to balance sheet and capital management for market, credit and operational risk. Pricing theory, risk based capital and capital management are considered in a common framework based on theories of capital structure and integrated risk management. Risk measures for setting capital requirements for market, credit and operations risk such as VaR, TailVar are reviewed and critiqued. Approaches to economic capital and optimal risk and capital management strategies are developed. Topics include: Risk based capital and capital structure theory; risk and capital management products; insurance pricing theory; role of capital in pricing and the frictional cost approach to risk and capital management.

Enrolment requires school approval.