BE361-7-SP-CO:
Risk Management
2024/25
Essex Business School
Colchester Campus
Spring
Postgraduate: Level 7
Current
Monday 13 January 2025
Friday 21 March 2025
20
23 July 2024
Requisites for this module
(none)
BE351 and (CF961 or BE953)
(none)
(none)
(none)
MSC N31012 Corporate and Investment Banking,
MSC N31024 Corporate and Investment Banking,
MRESN30012 Finance,
MSC N34212 Financial Engineering and Risk Management,
MSC N34224 Financial Engineering and Risk Management
This module will start with an appraisal of Value at Risk (VAR) which is a summary measure of financial risk developed in the 1990s. Various VAR models will be described. The use of stress testing to compliment VAR, especially when portfolios include derivative products, will be discussed. The VAR approach has been extended to and beyond derivatives to encompass firm-wide financial risk management.
The aims of this module are:
- To study advanced models in risk management such as the VAR methodology.
- To study techniques for the management of credit risk and the pricing of credit derivatives.
- To examine the role and failings of risk management in the recent sub-prime crisis and the subsequent credit crunch.
By the end of this module, students will be expected to be able to:
- Understand the uses and limitations of the VAR approach in the context of risk management.
- Understand the uses and limitations of credit derivatives such as credit default swaps.
- Evaluate the empirical evidence on the uses and limitations of extant risk management strategies in the light of the recent sub-prime and banking crises.
- Understand the use of duration and convexity in mitigating interest rate risk.
Skills for Your Professional Life (Transferable Skills)
- Analytical skills.
- Critical thinking.
- Communication skills.
The recent financial crisis and credit crunch have demonstrated that risk management was too narrowly defined as it focused mainly on capital risk and not on liquidity risk, and that much of current financial engineering was based on inadequate and overly optimistic assumptions. However the subprime debacle and the credit crunch have shown that existing approaches to risk management need to be reconsidered, and a discussion of the new Regulatory environment, post crisis given.
This module will be delivered via:
- One 2-hour lecture per week.
Students are expected to do relevant reading and preparation before the lecture. It is strongly recommended that students also do additional reading to supplement the lecture material.
The above list is indicative of the essential reading for the course.
The library makes provision for all reading list items, with digital provision where possible, and these resources are shared between students.
Further reading can be obtained from this module's
reading list.
Assessment items, weightings and deadlines
| Coursework / exam |
Description |
Deadline |
Coursework weighting |
| Written Exam |
In-class Test |
|
100% |
| Exam |
Main exam: In-Person, Open Book, 120 minutes during Summer (Main Period)
|
| Exam |
Reassessment Main exam: In-Person, Open Book, 120 minutes during September (Reassessment Period)
|
Additional coursework information
The coursework comprises:
Exam format definitions
- Remote, open book: Your exam will take place remotely via an online learning platform. You may refer to any physical or electronic materials during the exam.
- In-person, open book: Your exam will take place on campus under invigilation. You may refer to any physical materials such as paper study notes or a textbook during the exam. Electronic devices may not be used in the exam.
- In-person, open book (restricted): The exam will take place on campus under invigilation. You may refer only to specific physical materials such as a named textbook during the exam. Permitted materials will be specified by your department. Electronic devices may not be used in the exam.
- In-person, closed book: The exam will take place on campus under invigilation. You may not refer to any physical materials or electronic devices during the exam. There may be times when a paper dictionary,
for example, may be permitted in an otherwise closed book exam. Any exceptions will be specified by your department.
Your department will provide further guidance before your exams.
Overall assessment
Reassessment
Module supervisor and teaching staff
Dr Emmanouil Pyrgiotakis, email: e.pyrgiotakis@essex.ac.uk.
Dr Emmanouil Pyrgiotakis & Dr Mike Nikolakopoulos
ebspgtad@essex.ac.uk
Yes
No
Yes
Dr Aris Kartsaklas
Brunel University London
Senior Lecturer
Available via Moodle
Of 25 hours, 22 (88%) hours available to students:
3 hours not recorded due to service coverage or fault;
0 hours not recorded due to opt-out by lecturer(s).
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