module code & title - University of St Andrews

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MN5608: RISK MANGEMENT
MODULE TYPE/SEMESTER: Option (20 credits), Semester 1
MODULE CO-ORDINATOR: Dr Manouchehr Tavakoli
CONTACT DETAILS:
[email protected]
01334 (46)2810
AIM: The last two decades have witnessed a spectacular change and growth in financial
markets (equity markets, foreign exchange markets, Euromarkets and international bond
markets). This has brought a new breed of investors that see the role of managers as
enhancing their shareholder value and protecting their wealth from potential risk. One of
the challenging tasks of managers in recent years has been to manage the exposure to risks
arising from the ever expanding financial markets and the use of derivatives markets.
Recent years have witnessed a resurgence of further deregulation, mergers, acquisitions
and take-overs. This brought about new ways of innovating financing, hedging and funding.
The principal aim of this module is to provide an introduction to managing the exposure to
risk and to apply relevant theories to realistic financial decision problems. This course will
also deal with risk management in private organisations and their importance in the
decision making process.
METHOD OF TEACHING AND LEARNING: One two-hour lecture per week, supplemented by
tutorials and seminars.
LEARNING OUTCOMES: By the end of the course, participants should be able to:
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Understand the conceptual building blocks of financial derivatives
Analyse and measure Market Risk
To Hedge Market Risk with Derivatives
Use Value at Risk
INDICATIVE TOPIC OUTLINE:
 Options, Futures and Other Derivatives
 Futures Markets
 Futures Valuation
 Options markets
 Option Valuation
 Swaps
 Hedging market risk with derivatives
 Analysing risk
 Value-at-Risk
UNIVERSITY OF ST ANDREWS
2014/15
School of Management
ASSESSMENT:
(i)
Two hour written examination in the December exam diet (50%)
(ii)
One class test in Week 6 (25%)
(iii)
One essay to be submitted in Week 10 on the following topics (25%):
(a) Did derivatives markets and risk management techniques contribute to the
liquidity crisis that began in 2007? Explain.
(17%)
(b) Are there any comparisons to be made with the stock market crash of 1987?
(8%)
READING LIST:
 Hull, H C. (2005). Fundamentals of Futures and Options Markets, Pearson. (Main Text)
 Kolb, Robert W., Rodriguez, R L. (1996) Financial Markets, Blackwell.
 Christopher Marrison (2002) The Fundamentals of Risk Measurements, MaGraw-Hill,
ISBN0071386270
 Sharpe, W., Alexander, G.J., Bailey, J V. (1999), 6th Edition Investments, Prentice Hall.
 Glyn A Holton (2003) Value at Risk: Theory and Practice, Academic Press, ISBN
0123540100
Further reading will be provided in the class.
UNIVERSITY OF ST ANDREWS
2014/15
School of Management
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