Financial Risk Management - ECO00021M
- Department: Economics and Related Studies
- Credit value: 10 credits
- Credit level: M
- Academic year of delivery: 2022-23
Module will run
| Occurrence | Teaching period |
|---|---|
| A | Spring Term 2022-23 to Summer Term 2022-23 |
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
Indicative assessment
| Task | % of module mark |
|---|---|
| Online Exam - 24 hrs (Centrally scheduled) | 100 |
Special assessment rules
None
Indicative reassessment
| Task | % of module mark |
|---|---|
| Online Exam - 24 hrs (Centrally scheduled) | 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.