Not available in 2016/17
FM321 Half Unit
Risk Management and Modelling
This information is for the 2016/17 session.
Teacher responsible
Dr Jon Danielsson
Availability
This course is compulsory on the BSc in Finance. This course is not available as an outside option nor to General Course students.
Pre-requisites
Students must have completed Principles of Finance (FM212), Mathematical Methods (MA100) and Elementary Statistical Theory (ST102).
Course content
This course will develop the fundamental concepts of risk management, such as value at risk, drawdowns, portfolio insurance, hedging, and risk measurement. Students will become familiarised with these tools through an extensive set of computer (Matlab) exercises.
Teaching
20 hours of lectures and 10 hours of lectures in the MT.
Formative coursework
Students will be expected to produce 10 problem sets in the MT.
Indicative reading
J Danielsson, Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk
Assessment
Exam (100%, duration: 1 hour and 30 minutes) in the main exam period.
Key facts
Department: Finance
Total students 2015/16: Unavailable
Average class size 2015/16: Unavailable
Capped 2015/16: No
Value: Half Unit
PDAM skills
- Problem solving
- Application of information skills
- Application of numeracy skills
- Commercial awareness
