MARKET RISK MANAGEMENT

FIN5MRM

2018

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-ordinatorXiangkang Yin

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

Readings

Resource TypeTitleResource RequirementAuthor and YearPublisher
ReadingsRisk Management and Financial Institutions (4th edition)PrescribedJohn C. HullWILEY

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

02. Understand the recent revolution in financial risk management

Activities:
Group project, lectures
Related graduate capabilities and elements:
Literacies and Communication Skills
Personal and Professional Skills

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

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
Inquiry and Analytical Skills
Personal and Professional Skills

Subject options

Select to view your study options…

Start date between: and    Key dates

Melbourne, 2018, Semester 1, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Enrolment information

Subject Instance Co-ordinatorXiangkang Yin

Class requirements

Tutorial Week: 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.

Lecture Week: 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 elementComments% ILO*
one mid-term test (1.5 h)20 01, 02, 03
one 3-hour final examination60 01, 02, 03, 04
one 4,000-word group project1000-2000 words per student. Max. 3 members per group.20 01, 02, 03, 04