Essex Business School
Postgraduate: Level 7
Monday 13 January 2020
Friday 20 March 2020
23 May 2019
Requisites for this module
BE351 and (CF961 or BE953)
MSC N34212 Financial Engineering and Risk Management,
MSC N34224 Financial Engineering and Risk Management
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.
The 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.
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.
The aims of the 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.
On successful completion of the module, students will 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
Skills for Your Professional Life (Transferable Skills)
* Analytical skills
* Critical thinking
* Communication skills
No additional information available.
1 two-hour lecture per week for ten consecutive weeks. 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.
- John Hull. (2015) Risk management and financial institutions, Hoboken, NJ: Wiley.
- Andrea Resti; Andrea Sironi. (2007) Risk management and shareholders' value in banking: from risk measurement models to capital allocation policies, Chichester: Wiley.
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
||120 minutes during Summer (Main Period) (Main)
Module supervisor and teaching staff
Dr Athanasios Triantafyllou
Dr Nikolaos Papanikolaou
Senior Lecturer in Accounting & Finance
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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