Durham Business School – Financial Risk Management

Description

Department: Business School (Business)

 

Financial Risk Management

Aims

To construct on the core module ‘Managing Finance’ by offering college students with the superior data wanted to know the methods proposed by specialist practitioners within the subject (e.g. company treasurers), and the abilities to contribute to discussions of danger administration as much as board stage.

Content

Introduction. Return-Risk tradeoffs. Efficient frontier. CAPM mannequin.

Trading in markets. Short promoting. Plain Vanilla derivatives: Forwards, futures, swap and choices.

How merchants handle dangers utilizing parameters comparable to Delta, Gamma and many others.

Interest price danger. Duration and convexity of bonds.

Value at Risk (VaR). Expected shortfalls (ES). Difference between ES and VaR.

Credit danger. Credit default swaps (CDS).

Volatility.

Learning Outcomes

Subject-specific Knowledge:

 

General strategies used within the valuation of economic derivatives;

Hedging strategies utilizing structured monetary derivatives;

Computational strategies for monetary danger evaluation and administration.

Subject-specific expertise:

By the tip of the module college students ought to be capable to:

Identify and consider the principal monetary dangers confronted by a big firm;

Apply strategies of asset portfolio administration, with explicit emphasis on bond and invoice portfolios;

Identify and consider the strategies by which these dangers will be managed, and the extent to which such strategies ought to be used;

Devise and suggest credible monetary danger administration methods primarily based on a spread of generic, and structured, monetary derivatives;

Critically assess monetary danger administration methods proposed by an organization’s danger administration practitioners.

Key Skills:

Written communication;

Planning, organising and time administration;

Problem fixing and evaluation;

Using initiative;

Computer literacy.

Modes of Teaching, Learning and Assessment and the way these contribute to the educational outcomes of the module

The module is delivered by way of on-line studying, divided up into research weeks with specifically produced sources inside every week. Resources differ in accordance with the educational outcomes however usually embody: video content material, directed studying, reflection by means of actions, alternatives for self-assessment and peer-to-peer studying inside a tutor-facilitated dialogue board. Tutors present suggestions on formative work and facilitate dialogue board communication in addition to being accessible for particular person session as crucial (often by electronic mail and Skype).

The summative evaluation of the module is designed to check the acquisition and articulation of information and important understanding, and expertise of utility and interpretation throughout the enterprise context.