This module covers the use of derivatives, portfolio allocation, the value of risk, and the management of credit risk and operational risk. It also includes cases and applications.
- Unit 1: Introduction to Risk Management
- Unit 2: Portfolio Analysis
- Unit 3: Management of Bond Portfolios
- Unit 4: Futures Markets
- Unit 5: Options Markets
- Unit 6: Risk Management with Options
- Unit 7: Value at Risk
- Unit 8: Credit Risk
- one three-hour unseen written examination (70%)
- two tutor marked assignments (30%)
- Elton EJ, MJ Gruber, SJ Brown & WN Goetzmann (2010) Modern Portfolio Theory and Investment Analysis, 8th Edition (International Student Version), Wiley.
- Hull JC (2014) Fundamentals of Futures and Options Markets, 8th Edition, Prentice Hall.
- Crouhy M, D Galai & R Mark (2014) The Essentials of Risk Management, 2nd Edition, McGraw-Hill. Module Sample.