37009 Risk Management8cp; 3hpw, lectures and applied workshop
Requisite(s): 24 credit points of completed study in spk(s): STM91543 Core Subjects (Mathematics)
These requisites may not apply to students in certain courses. See access conditions.
Anti-requisite(s): 25878 Risk Management
Designed specifically for quantitative finance students, this subject provides the disciplinary knowledge in the area of risk management by providing a comprehensive and rigorous exposition of the theory and practice of financial risk measurement and management. It focuses on the tools and techniques for identifying, measuring and managing market risk. It covers the value-at-risk measure and expected shortfall. Parametric and non-parametric techniques, including historical and Monte Carlo simulation, are covered in depth. The subject also provides an overview of liquidity risk and introduces credit risk models. Issues in measuring operational risk are explored.
The subject consists of a large practical component involving the implementation of the various approaches to quantifying the market risk of large portfolios consisting of various financial instruments.
The combination of theory and practical, real-world examples and complex problems presented promote enquiry and critical thinking. Innovation and creativity are required to successfully solve the problems in the assessment tasks where communication is also critical to clearly explain methods used and the results obtained.
Detailed subject description.