fin5mrm market risk management
MARKET RISK MANAGEMENT
FIN5MRM
2019
Credit points: 15
Subject outline
Market risk is the risk of loss or gain, arising from unexpected changes in the market prices of assets, such as equity, debt and derivative securities and commodities, or changes in market rates, such as interest rates and exchange rates. In this subject you will examine how to measure the exposure of a firm or portfolio to market risk. You will learn statistical and financial foundations for the quantification of risk, compare and analyse in detail various approaches to financial risk measurement, explore applications of VAR systems from measuring to managing market risk.
SchoolLa Trobe Business School
Credit points15
Subject Co-ordinatorMary Ma
Available to Study Abroad StudentsYes
Subject year levelYear Level 5 - Masters
Exchange StudentsYes
Subject particulars
Subject rules
Prerequisites BUS5SBF or FIN5SBF
Co-requisitesN/A
Incompatible subjectsN/A
Equivalent subjectsN/A
Special conditionsN/A
Learning resources
Readings
| Resource Type | Title | Resource Requirement | Author and Year | Publisher |
|---|---|---|---|---|
| Readings | Risk Management and Financial Institutions (4th edition) | Prescribed | John C. Hull | WILEY |
Graduate capabilities & intended learning outcomes
01. Develop a statistical and financial foundation for the quantification of risk.
- Activities:
- Lectures, tutorials, midterm test
- Related graduate capabilities and elements:
- Inquiry and Analytical Skills(Critical Thinking,Inquiry/Research)
02. Understand the recent revolution in financial risk management
- Activities:
- Group project, lectures
- Related graduate capabilities and elements:
- Literacies and Communication Skills(Writing,Quantitative Literacy)
- Personal and Professional Skills(Teamwork including leadership and working in groups)
03. Develop the ability of using various approaches to financial risk management
- Activities:
- Lectures, final exam, group project
- Related graduate capabilities and elements:
- Inquiry and Analytical Skills(Critical Thinking,Inquiry/Research)
04. Understand the applications of VAR systems, from measuring to managing market risk
- Activities:
- Lectures, final exam, group project
- Related graduate capabilities and elements:
- Literacies and Communication Skills(Writing,Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Inquiry/Research)
- Personal and Professional Skills(Teamwork including leadership and working in groups)
Subject options
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Melbourne, 2019, Semester 1, Day
Overview
Online enrolmentYes
Maximum enrolment sizeN/A
Enrolment information
Subject Instance Co-ordinatorMary Ma
Class requirements
TutorialWeek: 10 - 22
One 1.0 hours tutorial per week on weekdays during the day from week 10 to week 22 and delivered via face-to-face.
LectureWeek: 10 - 22
One 2.0 hours lecture per week on weekdays during the day from week 10 to week 22 and delivered via face-to-face.
Assessments
| Assessment element | Comments | % | ILO* |
|---|---|---|---|
| one mid-term test (1.5 h) | 20 | 01, 02, 03 | |
| one 3-hour final examination | 60 | 01, 02, 03, 04 | |
| one 4,000-word group project | 1000-2000 words per student. Max. 3 members per group. | 20 | 01, 02, 03, 04 |