This module covers key concepts related to financial risk management, especially market risk in financial institutions. It broadly addresses the rationale for practising risk management, followed by approaches to measuring and managing risk.
The course will cover the following indicative topics:
• Taxonomy of Risks
• Essential Financial Products
• Introduction to Regulation
• Modelling Portfolio Risk
• Market Risk and VAR
• Credit Risk
• Risk-Adjusted Performance Measures
Total contact hours: 36
Private study hours: 114
Total study hours: 150
Real Data Report, 2000 words (30%)
Examination, 2 hour (70%).
Reassessment method:
100% Exam
Bessis, J. (2015) Risk Management in Banking, 4th Edition, John Wiley and Sons.
Jorion, P. (2006) Value at Risk: The Benchmark for Managing Market Risk, 3rd Edition, McGraw-Hill.
Dowd, K. (2013) Measuring Market Risk, 2nd edition, John Wiley and Sons.
Christofferssen, P. F. (2011) Elements of Financial Risk Management, 2nd edition, Academic Press.
Alexander, C. (2009) Market Risk Analysis, Volume IV: Value at Risk Models, Wiley.
See the library reading list for this module (Canterbury)
The intended subject specific learning outcomes.
On successfully completing the module students will be able to:
- demonstrate a detailed understanding of a structured method of assessing financial risk by financial institutions;
- demonstrate knowledge and understanding to underpin the identification, measurement and management of financial risks in banks and financial firms, as well as non-financial corporations;
- develop an in-depth understanding of the nature of risk in an organisational set up involving banks, financial firms and non-financial corporations;
- demonstrate an understanding of the various techniques for financial risk measurement and management:
- demonstrate knowledge of a variety of financial markets, and with financial and statistical modelling related to trading and investment operations;
- demonstrate an in-depth understanding of the institutional and regulatory framework for supervising and monitoring financial risk management practices of banks and financial firms;
- develop and define complex arguments and provide critical insights on the financial risk management practise of banks;
- identify various types of financial risks and apply techniques for managing financial risks;
- evaluate and respond to the implications of institutional and regulatory framework that has bearing on the existing practices of financial risk management;
The intended generic learning outcomes.
On successfully completing the module students will be able to:
- apply numerical skills to solve problems faced by financial institutions;
- read, analyse, evaluate and summarise economic, financial and business events relating to financial risk management;
- locate, extract, and analyse data from different sources, e.g. newspapers, library, internet etc. to be presented in an appropriate format relating to financial risk management;
- plan and work independently using various learning resources;
- use information technology to acquire, analyse, and communicate effectively.
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