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Durham University

Postgraduate Modules 2019/2020

Module Description

Please ensure you check the module availability box for each module outline, as not all modules will run in each academic year. Each module description relates to the year indicated in the module availability box. Please be aware that modules may change from year to year, and may be amended to take account of, for example: changing staff expertise, disciplinary developments, the requirements of external bodies and partners, and student feedback.

No such Code for pgprog: L1K209
No such Code for pgprog: L1K309
No such Code for pgprog: L1K709
No such Code for pgprog: L1K809
No such Code for pgprog: L1K609
No such Code for pgprog: L1K509
No such Code for pgprog: L1K109

Department: Economics and Finance

ECON40315: FINANCIAL RISK MANAGEMENT

Type Tied Level 4 Credits 15 Availability Available in 2019/20
Tied to L1K209
Tied to L1K309
Tied to L1K709
Tied to L1K809
Tied to L1K609
Tied to L1K509
Tied to L1K109
Tied to N3K109 Finance
Tied to N3K209 Finance (Accounting and Finance)
Tied to N3K309 Finance (Corporate and International Finance)
Tied to N3K409 Finance (Finance and Investment)
Tied to N3K509 Finance (International Money, Finance and Investment)
Tied to N3K609 Finance (International Banking and Finance)
Tied to N3K709 Finance (Economics and Finance)
Tied to N3K809 Islamic Finance

Prerequisites

  • None

Corequisites

  • Derivative Markets (ECON41415)

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 Contact 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


    If you have a question about Durham's modular degree programmes, please visit our User Guide. If you have a question about modular programmes that is not covered by the User Guide, or a query about the Postgraduate Module Handbook, please contact us using the Comments and Questions form below.