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
Subject options
Select to view your study options…
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 element | Category | Contribution | Hurdle | % | ILO* |
|---|---|---|---|---|---|
One hour mid-semester examination Equivalent to 1000 words | Other written exam | Individual | No | 10 | SILO1, SILO2, SILO3, SILO4 |
Two hour final examination Equivalent to 2000 words | Central exam | Individual | No | 50 | SILO1, SILO2, SILO3, SILO4 |
Individual assignment Equivalent to 2000 words | Assignment | Individual | No | 30 | SILO1, SILO2, SILO3, SILO4 |
Online and/or in-class formative assessment tasks Equivalent to 500 words | Other | Individual | No | 10 | SILO1, SILO2 |