Module FINN40215: Financial Engineering and Risk Analytics

Department: Finance

FINN40215: Financial Engineering and Risk Analytics

Prerequisites

• None

Corequisites

• Derivative Markets (FINN40715)

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

• Trading Strategies using Option Contracts;
• Option Greeks and Volatility Smiles;
• Managing Interest Rate Risks;
• Value at Risk and Backtesting Models;
• Market Risk Measurement Tools;
• Credit Risk Measures;
• Advanced Topics on Modelling Risk.

Learning Outcomes

• 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.

• 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.

• Written Communication;
• Planning, Organising and Time Management;
• Problem solving and analysis;
• 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 formative assessment using an online test provides students with the opportunity to practice and receive immediate feedback on their knowledge and skills.
• 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

Summative Assessment

Formative Assessment:

A formative online test will provide students with feedback on their learning progress.

■ Students who do not attend monitored activities shown under Teaching Methods and Learning Hours, or who fail to complete the summative or formative assessment(s) specified above, may be subject to the Academic Progress procedures defined in the University's General Regulation V, and may be required to leave the University.