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.
School: La Trobe Business School (Pre 2022)
Credit points: 15
Subject Co-ordinator: Mary Ma
Available to Study Abroad/Exchange Students: Yes
Subject year level: Year Level 5 - Masters
Available as Elective: No
Learning Activities: N/A
Capstone subject: No
Subject particulars
Subject rules
Prerequisites: BUS5SBF OR FIN5SBF
Co-requisites: N/A
Incompatible subjects: N/A
Equivalent subjects: N/A
Quota Management Strategy: N/A
Quota-conditions or rules: N/A
Special conditions: N/A
Minimum credit point requirement: N/A
Assumed knowledge: N/A
Learning resources
Risk Management and Financial Institutions
Resource Type: Book
Resource Requirement: Prescribed
Author: John C. Hull, latest edition
Year: N/A
Edition/Volume: current edition
Publisher: WILEY
ISBN: N/A
Chapter/article title: N/A
Chapter/issue: N/A
URL: N/A
Other description: N/A
Source location: N/A
Career Ready
Career-focused: No
Work-based learning: No
Self sourced or Uni sourced: N/A
Entire subject or partial subject: N/A
Total hours/days required: N/A
Location of WBL activity (region): N/A
WBL addtional requirements: N/A
Graduate capabilities & intended learning outcomes
Graduate Capabilities
Intended Learning Outcomes
Melbourne (Bundoora), 2020, Semester 1, Day
Overview
Online enrolment: Yes
Maximum enrolment size: N/A
Subject Instance Co-ordinator: Mary 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 | Category | Contribution | Hurdle | % | ILO* |
|---|---|---|---|---|---|
One hour mid-semester examinationEquivalent to 1000 words | N/A | N/A | No | 10 | SILO1, SILO2, SILO3, SILO4 |
Two hour final examinationEquivalent to 2000 words | N/A | N/A | No | 50 | SILO1, SILO2, SILO3, SILO4 |
Individual assignmentEquivalent to 2000 words | 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 | No | 10 | SILO1, SILO2 |