MARKET RISK MANAGEMENT

FIN5MRM

2015

Credit points: 15

Subject outline

Market risk is the risk of loss, or gain, arising from unexpected changes in the market price of assets, such as equity, debt and derivative securities and commodities, or the change in market rates, such as interest rates or exchange rates. In this subject students will examine how to measure the exposure of a firm or portfolio to market risk. Students will learn statistical and financial foundation 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-ordinatorJing Zhao

Available to Study Abroad StudentsYes

Subject year levelYear Level 5 - Masters

Exchange StudentsYes

Subject particulars

Subject rules

Prerequisites FIN5SBF

Co-requisitesN/A

Incompatible subjectsN/A

Equivalent subjectsN/A

Special conditionsN/A

Readings

Resource TypeTitleResource RequirementAuthor and YearPublisher
ReadingsRisk Management and Financial Institutions (3rd edition)PrescribedJohn C. HullWILEY

Graduate capabilities & intended learning outcomes

01. To 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. To understand the recent revolution in financial risk management

Activities:
Group project, lectures
Related graduate capabilities and elements:
Literacies and Communication Skills (Writing,Speaking)
Personal and Professional Skills (Teamwork including leadership and working in groups)

03. To 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. To 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,Speaking)

Subject options

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Start date between: and    Key dates

Melbourne, 2015, Semester 1, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Enrolment information

Subject Instance Co-ordinatorJing Zhao

Class requirements

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.

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.

Assessments

Assessment elementComments% ILO*
one mid-term test20 01, 02, 03
one 3-hour final examinationHurdle requirement: Students must achieve at least 50% in the final examination as well as a total of 50% in the sum of the marks for all assessment tasks to pass the unit.60 01, 02, 03, 04
one 4,000-word group project20 01, 02, 03, 04