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.

Topics covered

  • 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

Assessment

  • one three-hour unseen written examination (70%)
  • two tutor marked assignments (30%)

Essential reading

  • 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.