Checking date: 26/06/2020


Course: 2020/2021

Financial risk management
(13760)
Study: Bachelor in Finance and Accounting (201)


Coordinating teacher: RODRIGUEZ LOPEZ, ROSA

Department assigned to the subject: Department of Business Administration

Type: Compulsory
ECTS Credits: 6.0 ECTS

Course:
Semester:




Students are expected to have completed
FIXED INCOME AND DERIVATIVES ECONOMETRICS I
Competences and skills that will be acquired and learning results. Further information on this link
The objective of this course is for the student to acquire an overview of the financial risks to which companies are exposed as well as the existing methods for their evaluation and hedging. To achieve the goal, the student, at the end of the course must have achieved a series of knowledge, skills and attitudes that are detailed below: Knowledge: - To understand the fundamental concepts associated with financial risk management. - To understand the concept of risk and the different types of risks that exist. - To know the instruments used in companies to measure and evaluate financial risk. - To understand the application of the instruments and mechanisms for measuring financial risk. - To understand the application of the instruments and mechanisms for evaluating financial risk. Of skills: - Understand the problem of financial risk management in financial and non-financial companies - To solve risk management problems. - Apply the hedging techniques used in risk management. - Calculate the VaR risk measure for market risks using different methodologies Attitude: - Enhancing the capacity for analysis and the capacity for synthesis. - Capacity for the organization and planning of work and autonomous learning in teams - Ability to solve complex problems associated with risk management in Excel - Ability to communicate with experts in other areas. - Enhance oral and written expression skills. - Ethical commitment.
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
  • % 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 and the academic weekly planning may change due academic events or other reasons.