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.
Teaching and assessment
We’re currently reviewing teaching and assessment of our modules in light of the COVID-19 situation. We’ll publish the latest information as soon as possible.
Contact hours and workload
This module is approximately 150 hours of work. This breaks down into about 28 hours of contact time and about 122 hours of independent study. The University may make minor variations to the contact hours for operational reasons, including timetabling requirements.
This module is running in the academic year 2020/21. We also plan to offer it in future academic years. However, there may be changes to this module in response to COVID-19, or due to staff availability, student demand or updates to our curriculum. We’ll make sure to let our applicants know of material changes to modules at the earliest opportunity.
It may not be possible to take some module combinations due to timetabling constraints. The structure of some courses means that the modules you choose first may determine whether later modules are core or optional.
This module is offered on the following courses: