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Course: 2018/2019

Financial risk management

(13760)

Bachelor in Finance and Accounting (Study Plan 2018) (Plan: 399 - Estudio: 201)

Coordinating teacher: RODRIGUEZ LOPEZ, ROSA

Department assigned to the subject: Business Administration Department

Type: Compulsory

ECTS Credits: 6.0 ECTS

Course: 3º

Semester: 2º

Requirements (Subjects that are assumed to be known)

FIXED INCOME AND DERIVATIVES ECONOMETRICS I

ObjectivesFurther information on this link

This course is designed to train the participants in evaluating, hedging and measuring financial risks. In recent years the most widely used measure of risk is Value at Risk ( VaR ). The course introduce the VaR measure and discursses its strengths and weaknesses. VaR is calculated for market risk and also for credit risk.

Description of contents: programme

1 Introduction to Risk management 2. Hedging Risks 3 The greeks and Portfolio Insurance 4 The management of Interest Rate Risk 5. Value at Risk (VaR). 6. Historical and Montecarlo Simulation of VaR 7. Back-Testing 8. VaR Limitations

Learning activities and methodology

- Class - Group homeworks

Assessment System

The goal of the final exam (50% of the final calification) is to verify the degree in which the competitions of knowledge have been acquired by the student. A MINIMUM GRADE OF 4.00 in this exam is neeeded to compute  the weigthed average.  The 50% of the final calification that remains will correspond to 1 test examn (20%) and a presentation of an empirical case (in groups of 3 students).

% end-of-term-examination 50
% of continuous assessment (assigments, laboratory, practicals...) 50

Basic Bibliography

Hull, J. Options Futures and Other Derivatives. Pearson . 2013
J. Hull. Risk Management and Financial Institutions. Willey. 2012
Jorion. Value at Risk: The New Benchmark for Managing financial Risk. McGRawhill. 2006

Additional Bibliography

Rene M. Stulz. Risk Management and Derivatives. Prentice Hall.

The course syllabus may change due academic events or other reasons.