Checking date: 24/04/2018


Course: 2018/2019

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
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
  • % 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.