This is archived information!
Search current Handbook for current unit information.
Financial Risk Management - ECFS868
This unit continues and builds upon the ideas introduced in the Financial Instruments core Unit. It begins with an exposition of the Black Scholes Merton option pricing relationship and its sensitivity parameters, exploring the financial underpinnings of that. Risk management parameters such as VaR and RAPM are explained.
This unit goes beyond market risk analytics/management and addresses commercially important and powerful sources of risk which are more difficult to quantify and model. These include: operational risk and agency risk and even the vagaries of human behavior and whether or not the organization has a "culture" of risk raking/management.
There is considerable focus on the modern approach to credit analysis, concentrating on quantifiable measure(s) of credit exposure both for a single name and for a portfolio of names and recognizing that those exposures will change over time and with market conditions. The Lecturers add relevance by showing how the concepts studied manifest in events currently unfolding in the "real world".
This unit is intended to round out students' exposure to the big risk measurement/management issues before students study elective courses.
| Credit Points: | 4 |
| When Offered: | D1 - Day; Offered in Session 1, North Ryde D2 - Day; Offered in Session 2, North Ryde E1 - Evening; Offered in Session 1, North Ryde E2 - Evening; Offered in Session 2, North Ryde |
| Staff Contact(s): | Dr Bernd Luedecke |
| Prerequisites: |
(Admission to MAppFin or PGCertAppFin) and ECFS865 and ECFS867 |
| Corequisites: | |
| NCCW(s): | |
| Unit Designation(s): | |
| Assessed As: | Graded |
| Offered By: | Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |
Timetable Information
For unit timetable information please visit the Timetables@Macquarie Website