FIN30090 Treasury and Risk Management

Academic Year 2020/2021

An introduction to the Elements, Issues, Instruments, and Methods of Financial Risk Management as viewed from an Institutional Perspective. By way of Introduction, an overview/review of the mean-variance approach to Risk and Return will be included, and followed by a high-level introduction to the Trading Environment of Financial Institutions. A substantial section of the module will then be devoted to the Valuation of Derivatives and the pricing of both liquid options and ‘Real Options’ as well as the quantification and role of Volatility. This will be followed by sections on how to quantify and manage Credit Risk, Liquidity Risk, and Operational Risk. The module will be rounded out by a general discussion of Regulatory issues and some Historical Events in Institutional Risk Management, the interplay between these.

Show/hide contentOpenClose All

Curricular information is subject to change

Learning Outcomes:

On completing this module students will have an understanding of the major Risk Management issues facing Financial Institutions, and knowledge of the theory, valuation, and basic mathematics required for valuation of the following derivative instruments used in financial management:

- Forward contracts, futures contracts, call option contracts, put option contracts, interest rate swaps, currency swaps, call futures options, put futures options, interest rate swaps, credit default swaps(CDS’s), and collateralised debt obligations(CDO’s).

Students should be able to produce and interpret such quantities as Value at Risk (VaR) and Expected Shortfall, both in a parametric and nonparametric setting.
Students should be able to construct Hedge portfolios for managing both Equity Risk and Credit Risk, and should have conceptual understanding of the quantities indicated by such terms as Delta, Gamma, Theta, Vega, Rho, as well as Duration and Convexity and Cashflow Immunisation.

Students should have a firm grasp of the major historical failures in Institutional Risk Management, and the various Regulatory approaches and Conventions adopted internationally in order to attempt to address and prevent them.

Indicative Module Content:

Risk Management and Financial Institutions (5th ed) by John Hull (Wiley)

Student Effort Hours: 
Student Effort Type Hours
Lectures

24
Tutorial

12
Autonomous Student Learning

90
Total

126
Approaches to Teaching and Learning:
Online Lectures, Reading of Textbook and any other assigned materials
Individual Assignments, with coordinated feedback within groups, and overall feedback given *to* groups
 
Requirements, Exclusions and Recommendations
Learning Recommendations:

To have passed a corporate finance examination with at least B+.


Module Requisites and Incompatibles
Incompatibles:
FIN30270 - Advanced Risk Management


 
Assessment Strategy  
Description Timing Open Book Exam Component Scale Must Pass Component % of Final Grade
Examination: End-of-Trimester Exam (2hrs) and Mid-term (1hr) Throughout the Trimester No Graded Yes

70
Continuous Assessment: assignments in weeks 3,5 and 7 Unspecified n/a Graded No

30

Carry forward of passed components
No
 
Resit In Terminal Exam
Autumn Yes - 2 Hour
Please see Student Jargon Buster for more information about remediation types and timing. 
Feedback Strategy/Strategies

• Feedback individually to students, on an activity or draft prior to summative assessment
• Feedback individually to students, post-assessment
• Group/class feedback, post-assessment
• Online automated feedback
• Peer review activities
• Self-assessment activities

How will my Feedback be Delivered?

All Continuous Assessment will be Group-Based according to the following steps: 1. Each member of the group submits online a draft of required work or individual contribution to group work (time schedule provided, prior to due date) 2. Groups complete required Assignment or Task 3. Group Submission must include Group Feedback on individual members' earlier drafts Members of a Group shall all receive the same grade, except in cases where one or more members' early drafts are consistently lacking relative to the others' Feedback will be online (with comments and explanation where needed) Final Examination will be assessed with online automated feedback.

Students should download or obtain Risk Management and Financial Institutions by John Hull (5th ed., 2018): Wiley