University of the Western Cape
Private Bag X17 Bellville 7535 South Africa Telegraph : UNIBELL Telex: 526661
Statistics and Population Studies Department
Science Faculty
Telephone:
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Faculty Information (Faculty UWC Template)
Postgraduate Module Outline
Computational Finance Programme
Financial Risk Management
COF726&COF827
First Semester 2012
Table of Contents
PAGE
Part A. General Information
1.
2.
Teaching Staff and Contact Times
Module Overview
1
1
2
Part B. Teaching and learning
3.
2
Teaching and Learning activities
4.
3
Module Schedule
5.
3
Materials
6.
7.
8.
Graduate Attributes, Learning outcomes and Assessment
Evaluation of the learning and teaching
Part C. General Information
Academic Honesty
Final version of Template for Module Outline at UWC
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(27) (21) 959-3039
(27) (21) 959 2909
dkotze@uwc.ac.za
Part A. General Information
Provide a Welcome statement
1. Teaching Staff and Contact Times
Module Coordinator:
Name
Professor Danelle Kotze
Room and
building
Science faculty/ Department of Statistics/ New Sciences building/ Level three/ Room 3.18
Phone
number
021 9593039
Email
dkotze@uwc.ac.za
Consultati
on hours
Mondays: 10:00 – 12:00
Tuesdays: 10:00 – 13:00
Fridays: 10:00 – 12:00
Appointments can also be scheduled by email.
Class
times
Module
Activity
Day
Period
Building
Building Name
Room
Probability
Lecture
Mon
5,6
12
New Science
SC2.14
Siyathemba Jonas, 2546913@uwc.ac.za cell: 0733640610
Class reps
Assistants
R Programming: Lougue Siaka cell: 0833115380 email: 2974862@uwc.ac.za
2. Module Overview
Overview information summarised
1
The key focus or purpose of this module
2
How this module relates to previously studied modules
3
How this module prepares students for subsequent modules
4
How this modules relates to the degree/discipline/programme/s
Final Template for Module Outline at UWC
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A brief review of important basic topics:
Financial Risk Management; VaR, additional
VaR, Mitigation, Basel II and III, Credit
derivatives
This module uses concepts and building
blocks of Probability Theory, Financial Risk,
Credit Derivatives
This is an elective course in the
Computational Finance programme. The aim
is to provide students with a background in
the complex field of Financial Risk, VaR
This is an elective course for Computational
Finance honours and Masters modules
MODULE DESCRIPTOR:
Statistics
Home Department
Module Topic
Financial Risk Management
Computational Finance 726
1.1. Generic Module Name
COF726
1.2. Alpha-numeric Code
15
Credit Value
S
Duration
First semester
Proposed semester/term
Honours in Computational Finance
Programmes in which the
module will be offered
7
Level
Main Outcomes
Main Content
At the end of the module students will be able to:
Summarize knowledge and analyse risk management
problems
Risk measurement, analytical methods of risk management,
value-at-risk methodologies, risk modelling.
STA331 or equivalent
Pre-requisite modules
None
Co-requisite modules
None
Prohibited module
Combination
A.Breakdown of Learning
Time(example)
B. Time-table Requirement per week
(example)
2.
Hours
Contact with lecturer / tutor:
Assignments & tasks:
Practicals:
Tests & examinations:
Selfstudy
Other: Please specify
Total Learning Time
45
55
0
3
47
0
150
Lectures p.w.
Practicals p.w.
Tutorials p.w.
3
2
4
Methods of Student
Assessment
Assignments, externally moderated project work and
examination
Part B. Teaching and Learning
3. Teaching and learning activities
The mode of teaching is face-to-face with teaching and learning activities comprising of lectures, discussion,
computer work. Selfstudy is encouraged by accessing listed reading materials. Practical exercises are mostly
done through assignments where the student submits a formal document.
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4. Module Schedule
Week
Topic
1
6
Introduction to Financial Risk
Management
Chap 1,2 Marrison
Traded financial instruments;;
Bonds; Equities; Options;
Futures; Swaps
Chap 4 Marrison, Chap 1 Hull
Market Risk
Marrison Chap 5 & 6
Additional VaR analysis;
Conditional Value at Risk
(CVaR); Value at Risk
Contribution (VaRC),
Incremental and Marginal
Value at Risk; Limitation of
Value at risk; Regulatory
Capital & VaR
Chapter 7, 10, 23, 25
Risk Mitigation: Diversification;
Hedging using Forwards;
Hedging using Options
Bank Regulation and Basel II
7
Model Risk & Liquidity Risk
8 - 15
Credit Risk in three parts; Part
I deals with : What is Credit
Risk; Part II deals with: Credit
Risk Modelling; Part III deal
with: Typical Credit
Derivatives
2
3
4
5
In-class Teaching and learning
activity
Out-of-class preparation
Assessment due
date
Assessment
return date
Week 4
One week
later
Study sections covered in
class
Study sections covered in
class
Study sections covered in
class
Study sections covered in
class
Study sections covered in
class
Study sections covered in
class
Study sections covered in
class
Study sections covered in
class
5. Materials
Prescribed Literature:
Fundamentals of Risk Management, Chris Marrison
McGraw-Hill 2002
Options, Futures and Other Derivatives, John C. Hull
At least one regular Financial periodical: Business Day, Business Report and
Financial Mail or Finance Week.
Lecture notes will refer to various websites including: http://www.bondex.co.za
and www.investopedia.com, www.jse.co.za and www.reservebank.co.za.
6. Graduate Attributes, Learning Outcomes and Assessment
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A.Vision
To engage critically with
knowledge
acquiring and applying knowledge in
a rigorous way
Learn continuously in a changing
world
use qualitative/quantitative data
confidently and competently
Learning outcomes
Apply principles to
problem settings;
Solve problems
related to financial
theory and concepts.
Solve problems
related to financial
theory and concepts.
Teaching and learning activities
Class discussion and in-class
exercises;
Pre-reading exercises;
Practical exercises
Assessment tasks and criteria
Student identifies /explains/
financial concepts and
theorems;
Student solves problems
individually and in group
settings;
Student solves problems
individually and in group
settings;
.
B.Realisation
Rounded intellectual development
to become self-aware and
responsible
the ability to reflect upon and assess
their own progress
transferable key skills to help with
career goals and continuing
education
Study answer sheets
of weekly tutorials
Problem solving skills
Practical exercises
Practical exercises
Student solves problems
individually and in group
settings;
Student solves problems
individually and in group
settings;
Clarity of communication
explain and argue clearly and
concisely
Present clear, wellstructured
practical/technical
reports
Practical reports and
assignments
C.Building research capacity to
extend understanding through
academic enquiry
produce analyses which are
grounded in evidence
Pre-reading exercises
work individually and in collaboration
with others
Conduct problemsolving individually
and collaboratively
develop a strong sense of
intellectual integrity
Apply data handling in
an ethical manner
Tutorial exercises;
Conduct problemsolving individually
and collaboratively
Interpret data output and collate
reports
D.Develop information expertise
to be able to use information
constructively and critically
critically evaluate the reliability of
different sources of information
Type (suggested)
1. Test 1
4. Practical work
3. Final examination
Total
Tutorial exercises;
Weighting
Problem solving on relevant
chapter theory and exercises
Student solves problems
individually and in group
settings.
Student solves problems
individually and in group
settings.
Student solves problems
individually and in group
settings
Submission
date
30%
20%
50%
100%
This is the summative assessment for the course.
Description and explanation of assessment activities
Problem solving sheets will be handed out during Classes over the semester. Students may attempt these as
a group (collaborative effort in tutorial classes), but submission should be done individually.
Please make sure your student number appears on each page of your report submitted.
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Questions for the Practical classes should be handed in electronically – students must make sure that these
electronic submissions are recorded on the class email list.
Please make sure your student number appears in the electronic report submitted.
Feedback on assessment
Please noteUWC policy where the general rule is that assessment tasks should be handed back to students
within a period of two weeks.
Penalties for late assessments
Should an assignment be submitted late, 5% of the total mark will be subtracted from student mark.
UWC assessment rules
Please note UWC Rule A5 in the General University Calendar for all assessment rules.
7. Evaluation of the learning and teaching on the module
Evaluation of the course will comprise of a questionnaire including student self-reflection on own learning, at
the end-of-module evaluation. These will be pen-and-paper course evaluations.
Part C. General information
8. Academic honesty




The UWC policy on plagiarism is available at (http://www.uwc.ac.za) and should be referred to in
each module outline.
Students need to submit assignments with a plagiarism declaration form for research related
assignments.
Procedures for checking plagiarism on Turnitin should be made available to students.
Always use Harvard citation rules.
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