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 programming tools in Excel and MATLAB on how to deal with these problems.
100%: Written assessment (Dissertation)
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.
We regularly review our modules to incorporate student feedback, staff expertise, as well as the latest research and teaching methodology. We’re planning to run these modules in the academic year 2023/24. However, there may be changes to these modules in response to COVID-19, 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.
This module is offered on the following courses: