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Financial Risk Management - ECO00021M

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  • Department: Economics and Related Studies
  • Module co-ordinator: Prof. Weining Wang
  • Credit value: 10 credits
  • Credit level: M
  • Academic year of delivery: 2020-21

Module will run

Occurrence Teaching cycle
A Spring Term 2020-21 to Summer Term 2020-21
B Summer Term 2020-21

Module aims

To give students an understanding of the instruments used for financial risk management in practice, based on the theory of continuous time finance and derivative pricing. Risk-neutral and forward neutral valuation. Martingales Applications: portfolio insurance; hedging basic business exposures. Departures from log normality: fat tailed distributions; behaviour in extremis. Applications: management of interest and exchange rate risk; the volatility smile ; VaR.

Module learning outcomes


 

Assessment

Task Length % of module mark
24 hour open exam
Financial Risk Management
N/A 100

Special assessment rules

None

Reassessment

Task Length % of module mark
24 hour open exam
Financial Risk Management
N/A 100

Module feedback

Students will receive feedback on their closed exam within the University's Policy on Assessment Feedback Turnaround Time (20 working days).  Following the release of their marks, cohort feedback will also be published on the Departmental website and student will have the opportunity to view their exam scripts at supervised Feedback Sessions.

Indicative reading

The basis of this module is provided by:

Hull, J.C., Options, Futures and other Derivatives, 7th Edition, Prentice Hall, 2008.

Supplementary reading:

Duffie, D. and Singleton, K., Credit Risk, Princeton, 2003.



The information on this page is indicative of the module that is currently on offer. The University is constantly exploring ways to enhance and improve its degree programmes and therefore reserves the right to make variations to the content and method of delivery of modules, and to discontinue modules, if such action is reasonably considered to be necessary by the University. Where appropriate, the University will notify and consult with affected students in advance about any changes that are required in line with the University's policy on the Approval of Modifications to Existing Taught Programmes of Study.

Coronavirus (COVID-19): changes to courses

The 2020/21 academic year will start in September. We aim to deliver as much face-to-face teaching as we can, supported by high quality online alternatives where we must.

Find details of the measures we're planning to protect our community.

Course changes for new students