Programme And Module Handbook
Course Details in 2020/21 Session

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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
Restrictions Compulsory module to MSc Investments and elective to MSc Financial Management students
Exclusions none

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 Main assessment: Continuous assessment (20%), Group report 3,000 words (30%) & 1 hour exam (50%).
Re-assessment: MCQ (20%), 750 word indivdual assignment (30%) & 1 hour exam (50%). (students only resit the fail components)
Reading List Amithson, CW, Managing Financial Risk, 1998