Module manager: Dr Jan Palczewski
Email: J.Palczewski@leeds.ac.uk
Taught: Semester 2 (Jan to Jun) View Timetable
Year running 2024/25
This module is not approved as an Elective
This module gives a comprehensive coverage of mathematical and practical approaches to financial risk management.
On completion of this module, students will be able to:
- describe the main sources of financial risk and their mathematical modelling;
- explain the use of financial instruments for hedging and insurance;
- provide a mathematically rigorous description of expected utility theory and its role in financial decision-making;
- explain in precise mathematical terms models of incomplete markets;
- demonstrate an understanding of basic risk measures;
- explain in detail the concept of Value-at-Risk;
- demonstrate an understanding of credit risks and credit derivatives;
- determine the effectiveness of hedge;
- carry out stress-testing of simple portfolios;
- appreciate the importance of stochastic volatility in risk management.
Risk management is considered vital for individuals as well as companies that are exposed to financial risk. Badly managed risk easily can lead to bankruptcy as witnessed by major companies in the last few years. This module aims to develop the mathematical methods and models to quantify, control and manage risk. Students will carry out some basic numerical simulations using the programming language R.
This module covers the different sorts of risk to which financial investments are exposed, basic and sophisticated derivates commonly used for hedging, expected utility theory, models of incomplete markets, Value-at-Risk and other risk measures, credit risks and credit derivatives, methods to determine the effectiveness of a hedge, stress-testing of risky investment portfolios.
On completion of this module the student will be familiar with the fundamentals of risk management and will be able to apply the concepts and models to analyse actual investments.
| Delivery type | Number | Length hours | Student hours |
|---|---|---|---|
| Lecture | 10 | 2 | 22 |
| Practical | 3 | 2 | 6 |
| Seminar | 7 | 1 | 7 |
| Private study hours | 115 | ||
| Total Contact hours | 35 | ||
| Total hours (100hr per 10 credits) | 150 | ||
- 6 hours per lecture: 60 hours
- 4 hours per tutorial: 28 hours
- 4 hours per practical class: 12 hours
- Preparation for assessment: 20 hours
Progress will be monitored by contributions made to tutorials and classes; and there will be an informal test in about week 5.
| Assessment type | Notes | % of formal assessment |
|---|---|---|
| Assignment | . | 30 |
| Total percentage (Assessment Coursework) | 30 | |
The resit for this module will be 100% by examination
| Exam type | Exam duration | % of formal assessment |
|---|---|---|
| Open Book exam | 2.0 Hrs 0 Mins | 70 |
| Total percentage (Assessment Exams) | 70 | |
The resit for this module will be 100% by 2 hours examination
The reading list is available from the Library website
Last updated: 4/29/2024
Errors, omissions, failed links etc should be notified to the Catalogue Team