STAT40560 Actuarial Risk Management II

Academic Year 2018/2019

This module is one of four that contribute to the exemption from the CA1 professional exam of the Insitute and Faculty of Actuaries (UK). This part introduces the capital markets - cash, bond, equity, property and derivatives markets - by considering the securities traded, how traded, the factors that influence price, elementary pricing models, and the expected rewards with the associated risks. It shows how to build an asset portfolio suitable for a given set of liabilities and risk appetite. Finally, we consider how to monitor asset risk, measure returns, and estimate risk-adjusted returns. The perspective adopted is that of a large institutional investor with assets accumulated to meet a given set of liabilities (e.g., pension fund, life company, charity).

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Curricular information is subject to change

Learning Outcomes:

On competition of this module, the student will - know the attributes of each different security traded on the capital markets - assess the value of assets - predict how prices change in different economic scenarios - build a portfolio suitable for given liabilities and risk appetite - monitor the performance of an asset portfolio - measure the risk in an asset portfolio (relative to a benchmark portfolio)

Student Effort Hours: 
Student Effort Type Hours
Lectures

24
Tutorial

6
Autonomous Student Learning

90
Total

120
 
Requirements, Exclusions and Recommendations

Not applicable to this module.



 
Description % of Final Grade Timing
Examination: End of semseter 2 hour exam

100

 2 hour End of Trimester Exam

Compensation

This module is not passable by compensation

Resit Opportunities

In-semester assessment

Remediation

If you fail this module you may repeat, resit or substitute where permissible