FM321 Half Unit
Risk Management and Modelling
This information is for the 2022/23 session.
Teacher responsible
Dr Linyan Zhu
Availability
This course is compulsory on the BSc in Finance and BSc in Financial Mathematics and Statistics. This course is available on the BSc in Accounting and Finance, BSc in Econometrics and Mathematical Economics, BSc in Economics, BSc in Mathematics and Economics, BSc in Mathematics, Statistics and Business and Diploma in Accounting and Finance. This course is available with permission as an outside option to students on other programmes where regulations permit and to General Course students.
Pre-requisites
Students must have completed Principles of Finance (FM212 or FM213) and Statistical Methods (Elementary Statistical Theory (ST102) or Econometrics II (EC2C1) or (Econometrics I (EC2C3) or Statistical Models and Data Analysis (ST201))). Mathematical Methods (MA100) is desirable but not required.
Course content
This course is intended for third-year undergraduates and builds upon FM212/FM213 Principles of Finance. The main topics covered are financial risk analysis and financial risk. The course provides students with a thorough understanding of market risk from both a practical and technical point of view. A representative list of topics covered includes:
- empirical properties of market prices (fat tails, volatility clusters) and forecasting of conditional volatility
- concepts of financial risk (volatility, Value-at-Risk)
- univariate and multivariate volatility models (ARCH, GARCH)
- implementation and evaluation of risk forecasts
- endogenous risk
Students apply the models to real financial data using Matlab/Python/R, a programming environment widely used in industry and academia. No prior knowledge of programming is assumed: students will learn-by-doing in class. Students will at times use data and software for classwork assignments.
Teaching
20 hours of lectures and 10 hours of classes in the MT.
Formative coursework
Students will be expected to produce written work for classes and to make positive contributions to class discussion
Indicative reading
J Danielsson, Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk will be the required textbook for the course. Additional readings may be assigned as needed.
Assessment
Coursework (100%) in the MT.
Key facts
Department: Finance
Total students 2021/22: 47
Average class size 2021/22: 23
Capped 2021/22: No
Lecture capture used 2021/22: Yes (MT)
Value: Half Unit
Course selection videos
Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.
Personal development skills
- Problem solving
- Application of information skills
- Application of numeracy skills
- Commercial awareness