fin5mrm market risk management

MARKET RISK MANAGEMENT

FIN5MRM

2020

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 (Pre 2022)

Credit points15

Subject Co-ordinatorMary Ma

Available to Study Abroad/Exchange StudentsYes

Subject year levelYear Level 5 - Masters

Exchange StudentsNo

Available as ElectiveNo

Learning ActivitiesN/A

Capstone subjectNo

Subject particulars

Subject rules

PrerequisitesBUS5SBF OR FIN5SBF

Co-requisitesN/A

Incompatible subjectsN/A

Equivalent subjectsN/A

Quota Management StrategyN/A

Quota-conditions or rulesN/A

Special conditionsN/A

Minimum credit point requirementN/A

Assumed knowledgeN/A

Learning resources

Risk Management and Financial Institutions

Resource TypeBook

Resource RequirementPrescribed

AuthorJohn C. Hull, latest edition

YearN/A

Edition/Volumecurrent edition

PublisherWILEY

ISBNN/A

Chapter/article titleN/A

Chapter/issueN/A

URLN/A

Other descriptionN/A

Source locationN/A

Career Ready

Career-focusedNo

Work-based learningNo

Self sourced or Uni sourcedN/A

Entire subject or partial subjectN/A

Total hours/days requiredN/A

Location of WBL activity (region)N/A

WBL addtional requirementsN/A

Graduate capabilities & intended learning outcomes

Graduate Capabilities

COMMUNICATION - Communicating and Influencing

DISCIPLINE KNOWLEDGE AND SKILLS

INQUIRY AND ANALYSIS - Critical Thinking and Problem Solving

INQUIRY AND ANALYSIS - Research and Evidence-Based Inquiry

Intended Learning Outcomes

01. Apply statistical and financial theory to the quantification of risk.

02. Understand the recent revolution in financial risk management

03. Demonstrate the ability of using various approaches to financial risk management

04. Understand the applications of VAR systems, from measuring to managing market risk

Subject options

Select to view your study options…

Melbourne (Bundoora), 2020, Semester 1, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Enrolment informationN/A

Subject Instance Co-ordinatorMary Ma

Class requirements

LectureWeek: 10 - 22
One 2.00 hours lecture per week on weekdays during the day from week 10 to week 22 and delivered via face-to-face.

TutorialWeek: 11 - 22
One 1.00 hour tutorial per week on weekdays during the day from week 11 to week 22 and delivered via face-to-face.

Assessments

Assessment element	Comments	Category	Contribution	Hurdle	%	ILO*
One hour mid-semester examinationEquivalent to 1000 words	N/A	N/A	N/A	No	10	SILO1, SILO2, SILO3, SILO4
Two hour final examinationEquivalent to 2000 words	N/A	N/A	N/A	No	50	SILO1, SILO2, SILO3, SILO4
Individual assignmentEquivalent to 2000 words	N/A	N/A	N/A	No	30	SILO1, SILO2, SILO3, SILO4
Online and/or in-class formative assessment tasksEquivalent to 500 words	N/A	N/A	N/A	No	10	SILO1, SILO2