fin5mrm market risk management
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
Learning resources
Readings
| Resource Type | Title | Resource Requirement | Author and Year | Publisher |
|---|---|---|---|---|
| Readings | Risk Management and Financial Institutions (3rd edition) | Prescribed | John C. Hull | WILEY |
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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Melbourne, 2015, Semester 1, Day
Overview
Online enrolmentYes
Maximum enrolment sizeN/A
Enrolment information
Subject Instance Co-ordinatorJing Zhao
Class requirements
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.
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.
Assessments
| Assessment element | Comments | % | ILO* |
|---|---|---|---|
| one mid-term test | 20 | 01, 02, 03 | |
| one 3-hour final examination | Hurdle 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 project | 20 | 01, 02, 03, 04 |