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Module Title LM Risk Management
SchoolBirmingham Business School
Department Birmingham Business School
Module Code 07 02697
Module Lead Dr. Hisham Farag
Level Masters Level
Credits 10
Semester Semester 2
Pre-requisites
Co-requisites
Restrictions Compulsory module to MSc Investments and elective to MSc Financial Management students
Contact Hours Lecture-0 hours
Seminar-0 hours
Tutorial-0 hours
Project supervision-0 hours
Demonstration-0 hours
Practical Classes and workshops-0 hours
Supervised time in studio/workshop-0 hours
Fieldwork-0 hours
External Visits-0 hours
Work based learning-0 hours
Guided independent study-0 hours
Placement-0 hours
Year Abroad-0 hours
Exclusions none
Description

This module deals primarily with the management of risk of financial and non-financial institutions. The nature of risks are discussed with particular emphasis on market and credit risks. Some aspects of option pricing and financial engineering are covered to provide a foundation for studying methods of determining Value at Risk (VAR). Approaches to modeling credit risk will be reviewed and discussed. The final section of the module will deal with firm-wide risk in non-financial institutions.

Learning Outcomes By the end of the module, students will be expected to be able to:
  • demonstrate comprehensive knowledge and understanding and critically analyse the main types of risks that face financial and non-financial institutions and the appropriate hedging techniques;
  • explain the mechanism and application of options and futures trading strategies;
  • show a critical understanding and analyse swaps contracts and the pricing of credit default swaps;
  • analyse the concept of Value at Risk (VaR) and the critical use of back and stress testing modules;
  • critically analyse the alternative interest rate hedging strategies of fixed income securities;
  • demonstrate a comprehensive understanding of the concepts of duration, convexity and immunisation for fixed income portfolios and their critical use to hedge against interest rate fluctuations;
  • show a critical understanding of credit risk modules and the application of credit derivatives.
Assessment 02697-01 : Class Test : Class Test (25%)
02697-02 : Examination : Exam (Centrally Timetabled) - Written Unseen (75%)
Assessment Methods & Exceptions A 1-hour test (25%) and a 2-hour closed book examination (75%) Reassessment: a 2-hour closed book examination (100%)
Other
Reading List Amithson, CW, Managing Financial Risk, 1998