FIN30270 Advanced Risk Management

Academic Year 2020/2021

The module comprises two parts. The first part, building on earlier introductory modules, focuses on applied risk management, with special emphasis on the use of financial derivatives to manage risk. The second part, also building on the introductory treatment provided by core modules, focuses on advanced risk modelling and measurement.
It is assumed that students have an understanding of basic portfolio theory, are familiar with the main types of securities and financial derivatives, and have been previously exposed to basic concepts in risk modelling, especially value at risk (VaR), allowing this course to concentrate on the application of advanced techniques and methodologies for risk management and measurement. A core component of the course is the use of Matlab coding, to apply these techniques and methodologies in practice.
The course will be delivered through a mix of formal frontal lectures and tutorials, complemented by workshops and guest lecturer seminars.

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Curricular information is subject to change

Learning Outcomes:

On completing this module students will
• Be able use derivative instruments (including forward contracts, futures contracts, call option contracts, put option contracts, interest rate swaps, currency swaps, call futures options, put futures options, credit default swaps, total return swaps, asset backed securities, and collateralised debt obligations) to take and manage risk
• Be able to advise financial and non-financial firms on the appropriate financial instrument to use for the purpose of managing a given risk
• Be able to design, implement and maintain a risk model suitable to the risk management needs of a given financial or non-financial firm
• Use appropriate risk models to produce estimates of the exposures of financial and non-financial firms to the main types of risk (with special emphasis on market and credit risk)
• Use appropriate risk scoring models and technique to assist financial and non-financial firms to assess the credit worthiness and/or riskiness of a given obligor

Student Effort Hours: 
Student Effort Type Hours
Lectures

24
Tutorial

12
Autonomous Student Learning

90
Total

126
Approaches to Teaching and Learning:
Not yet recorded 
Requirements, Exclusions and Recommendations

Not applicable to this module.


Module Requisites and Incompatibles
Incompatibles:
FIN30090 - Treasury and Risk Management


 
Assessment Strategy  
Description Timing Open Book Exam Component Scale Must Pass Component % of Final Grade
Group Project: Risk Management Unspecified n/a Graded No

25
Examination: Final Exam 2 hour End of Trimester Exam No Graded No

35
Group Project: Presentation - Value at Risk Unspecified n/a Graded No

15
Group Project: Market and/or Credit Risk Modelling Unspecified n/a Graded No

25

Carry forward of passed components
Not yet recorded
 
Remediation Type Remediation Timing
In-Module Resit Prior to relevant Programme Exam Board
Please see Student Jargon Buster for more information about remediation types and timing. 
Not yet recorded
Name Role
Mr Shivam Agarwal Tutor