FM402 Half Unit
Financial Risk Analysis
This information is for the 2020/21 session.
Teacher responsible
Dr Christian Julliard
Availability
This course is available on the Global MSc in Management, MSc in Accounting and Finance, MSc in Applicable Mathematics, MSc in Financial Mathematics, MSc in Risk and Finance, MSc in Statistics (Financial Statistics), MSc in Statistics (Financial Statistics) (LSE and Fudan) and MSc in Statistics (Financial Statistics) (Research). This course is not available as an outside option.
Please note, Global MSc in Management (Accounting and Finance concentration only)
This course is available with permission on the Diploma in Accounting and Finance with the approval of the Programme Director.
This course is available to other students from the Departments of Economics, Mathematics, and Statistics where regulations permit.
Pre-requisites
The course assumes a basic knowledge of finance theory, statistics and mathematics (calculus, linear algebra).
Course content
This course aims to provide an overview of the main theoretical concepts underlying the analysis of financial risk and to show how these concepts can be implemented in practice in a variety of contexts. This course shares some topics with FM442 Quantitative Methods in Finance and Risk Analysis. The course will include a selection of:
- Conceptual foundations: diversification, hedging and their limits
- Fixed income securities
- Options and dynamic replication
- Value at Risk
- Endogenous risk
- Ideas from Behavioural Finance
- Credit risk (ratings based models, structural models, reduced form models)
- Credit derivatives
Teaching
20 hours of lectures and 10 hours of classes in the MT.
Formative coursework
Students will be expected to produce 8 problem sets in the MT.
Indicative reading
Course readings will vary from year to year depending upon the topics covered. Useful references are M Crouhy, D Galai and R Mark, Risk Management, McGraw-Hill, 2001; P Jorion, Value at Risk, McGraw-Hill, 2007; J Hull, Risk Management and Financial Institutions, Prentice-Hall, 2015; J Hull, Options, Futures and Other Derivatives, Prentice-Hall, 2014 and D Duffie and K Singleton, Credit Risk, Princeton University Press, 2003.
Assessment
Exam (100%, duration: 2 hours) in the summer exam period.
Important information in response to COVID-19
Please note that during 2020/21 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the situation of students in attendance on campus and those studying online during the early part of the academic year. For assessment, this may involve changes to mode of delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.
Key facts
Department: Finance
Total students 2019/20: 68
Average class size 2019/20: 12
Controlled access 2019/20: Yes
Value: Half Unit
Personal development skills
- Problem solving
- Communication
- Application of numeracy skills
- Commercial awareness
- Specialist skills
