Course Information Undergraduate prospectus

Advanced Risk Management

Course summary

Course code: FINA1110
Level: 6
Credits: 30
School: Business Faculty
Department: Accounting and Finance
Course Coordinator(s): George Wloch

Specification

Aims

This course provides students with the ability to investigate the risk borne by financial institutions, building on the introduction from the second-year Managing Business Finance and Financial Markets, Institutions and Instruments course. It critically appraises the theory and practice of risk management within the financial marketplace and the impact upon operations. Its aim is to equip students with the tools that will help them to effectively evaluate market risk, differentiate between different types of risk, review current risk management practices and reflect upon the topical risk management issues.

Learning outcomes

On completing this course successfully you will be able to:

1. Value the most common instrument types;
2. Critically appraise the risks associated with investment in equities, bonds and simple derivatives;
3. Investigate a variety of methods for calculating risk for different asset types and in different scenarios, critically appraise the different methodologies;
4. Monitor and critically examine different types of risk at the portfolio level and reflect upon the impact at the corporate level with reference to current regulation;
5. Investigate risk management strategies across asset classes and instrument.

Indicative content

Valuation of equities, bonds, money market instruments and simple options. Risk identification to include interest rate risk, duration, equity market distributions. Risk valuation to consider VaR, Historic Simulation and simple Monte Carlo valuation for non linear assets. Function of Stress testing. Differentiate between position risk and incremental risk at the portfolio level. Review credit risk, liquidity risk and systemic risk. Evaluate risk reduction strategies using plain vanilla and option strategies.

Teaching and learning activity

This course will be delivered through 2 hour weekly lectures and one hour seminars.

Assessment

Essay - 40% weighting; 40% pass mark; 2000 words; outline details: A quantitative based risk research topic; tests learning outcomes: 2-3.

Class tests - 10% weighting; 40% pass mark; outline details: In class tests; tests learning outcomes: 1-2.

Exam - 50% weighting; 40% pass mark; 3 hours; outline details: A closed book exam; tests learning outcomes: 1-6.