MARKET RISK MANAGEMENT

FIN5MRM

2021

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-ordinatorMary Ma

Available to Study Abroad/Exchange StudentsYes

Subject year levelYear Level 5 - Masters

Available as ElectiveNo

Learning ActivitiesLectures, tutorials, midterm test, online and/or in-class formative assessment tasks.

Capstone subjectNo

Subject particulars

Subject rules

PrerequisitesFIN5SBF OR BUS5SBF

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

Readings

Risk Management and Financial Institutions

Resource TypePrescribed

Resource RequirementN/A

AuthorJohn C. Hull, latest edition

YearN/A

Edition/Volumecurrent edition

PublisherWILEY

ISBN978-8126536344

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

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…

Start date between: and    Key dates

Melbourne (Bundoora), 2021, Semester 1, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Subject Instance Co-ordinatorMary Ma

Class requirements

LectureWeek: 10 - 22
One 2.00 h 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 h tutorial per week on weekdays during the day from week 11 to week 22 and delivered via face-to-face.

Assessments

Assessment elementCommentsCategoryContributionHurdle% ILO*

One hour mid-semester examination Equivalent to 1000 words

N/AOther written examIndividualNo10 SILO1, SILO2, SILO3, SILO4

Two hour final examination Equivalent to 2000 words

N/ACentral examIndividualNo50 SILO1, SILO2, SILO3, SILO4

Individual assignment Equivalent to 2000 words

N/AAssignmentIndividualNo30 SILO1, SILO2, SILO3, SILO4

Online and/or in-class formative assessment tasks Equivalent to 500 words

N/AOtherIndividualNo10 SILO1, SILO2