Financial Invest & Corp Risk Analysis (861G1)
15 credits, Level 7 (Masters)
In this module, we introduce the three main risk concepts in the investment and corporate risk management field: market risk (times series), credit risk (financial rating) and operational risk (evaluation and reporting techniques), using Basel Regulations as guidelines.
We then introduce the mathematical tools required to quantify, describe and analyse these risks quantitatively (including graphic representation, bootstrapping, calculation of transition matrices, ARCH/GARCH models, VaR, Monte-Carlo simulation)
We also introduce some programming tools in Excel and MatLab on how to deal with these problems.
100%: Written assessment (Dissertation)
Contact hours and workload
This module is 171 hours of work. This breaks down into 21 hours of contact time and 150 hours of independent study.
This module is running in the academic year 2018/19. We also plan to offer it in future academic years. It may become unavailable due to staff availability, student demand or updates to our curriculum. We’ll make sure to let our applicants know of such changes to modules at the earliest opportunity.
This module is offered on the following courses: