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Durham University

Postgraduate Module Handbook 2021/2022

Archive Module Description

This page is for the academic year 2021-22. The current handbook year is 2022-23

Department: Economics and Finance

ECON403JN: FINANCIAL RISK MANAGEMENT

Type Tied Level 4 Credits 15 Availability Not available in 2021/22
Tied to N3K109J Finance (commencing in January) (suspended for 21/22)
Tied to N3K209J Finance (Accounting and Finance) (commencing in January) (suspended for 21/22)

Prerequisites

  • None

Corequisites

  • Derivative Markets (ECON414JN)

Excluded Combination of Modules

  • None

Aims

  • develop students' ability to master the knowledge and understanding at an advanced level of the means by which risk can be managed, primarily through the use of financial derivatives and the problems inherent in using such instruments;
  • provide students with the opportunity to develop the ability to critically understand academic literature relating to risk management;
  • provide students with the ability to critically review this specialised complex area of knowledge with a view to undertaking a dissertation in the field of financial risk management.

Content

  • Hedging Strategies with Futures;
  • Applied Topics in Futures Markets;
  • Trading Strategies using Option Contracts;
  • Option Greeks and Volatility Smiles;
  • Value at Risk;
  • Corporate Liabilities as Options;
  • Credit Risks;
  • Estimating Volatility and Correlation;
  • Advanced Topics on Volatility Modelling and Option Pricing.

Learning Outcomes

Subject-specific Knowledge:
  • have an advanced knowledge and critical understanding of how derivative financial instruments can be used to manage risk and the potential problems associated with using such instruments;
  • have an advanced understanding of different strategies for managing risk using options and futures, including an understanding of the complexities and problems associated with the use of such strategies;
  • have explored, understood and appreciated the complexity and contradictions of the current academic literature and its implications for professional practice, and be able to identify open questions for their own research;
  • have demonstrated the ability to learn and work independently in this area, exercising critical judgement and discrimination in the resolution of complex problematic situations.
Subject-specific Skills:
  • have used highly specialised and advanced technical and academic skills to analyse the extent to which risk management is successful.
  • have practised problem solving and analytical skills in a complex specialised context.
Key Skills:
  • Written Communication;
  • Planning, Organising and Time Management;
  • Problem Solving and analysis;
  • Using initiative;
  • Numeracy;
  • Computer Literacy.

Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module

  • A combination of lectures, seminars and guided reading will contribute to achieving the aims and learning outcomes of this module. The summative written examination will test students' knowledge and understanding of the subject-matter and their critical judgement, problem-solving and analytical skills.

Teaching Methods and Learning Hours

Activity Number Frequency Duration Total/Hours
Lectures 9 1 per week 2 hours 18
Seminars 4 1 hour 4
Preparation & Reading 126
Revision Sessions 2 1 hour 2
Total 150

Summative Assessment

Component: Examination Component Weighting: 100%
Element Length / duration Element Weighting Resit Opportunity
Unseen written examination 2 hours 100% Same

Formative Assessment:

Work prepared by students for seminars; answers to questions either discussed during a seminar, or posted on DUO.


Attendance at all activities marked with this symbol will be monitored. Students who fail to attend these activities, or to complete the summative or formative assessment specified above, will be subject to the procedures defined in the University's General Regulation V, and may be required to leave the University