University of Technology Sydney

25878 Risk Management

Warning: The information on this page is indicative. The subject outline for a particular session, location and mode of offering is the authoritative source of all information about the subject for that offering. Required texts, recommended texts and references in particular are likely to change. Students will be provided with a subject outline once they enrol in the subject.

Subject handbook information prior to 2020 is available in the Archives.

UTS: Science: Mathematical and Physical Sciences
Credit points: 8 cp

Subject level:


Result type: Grade and marks

There are course requisites for this subject. See access conditions.


This subject provides a comprehensive and rigorous exposition of the theory and practice of financial risk measurement and management. It focuses on 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 consists of a large practical component involving implementing of the various approaches to quantifying the market risk of large portfolios consisting of various financial instruments. The subject also introduces credit risk models and provide an overview of liquidity risk. Issues in measuring operational risk are explored.

Subject learning objectives (SLOs)

Upon successful completion of this subject students should be able to:

1. Demonstrate an understanding of the regulatory environment for financial risk
2. Identify and understand the range of risks facing corporations
3. Quantify market risk of complex portfolios using value-at-risk techniques
4. Understand and apply stress testing and backtesting techniques
5. Demonstrate an understanding of operational and liquidity risks

Contribution to the development of graduate attributes

This subject will provide a thorough understanding of the range of the risks facing financial institutions and other corporations. Students will develop a theoretical and practical knowledge of how to quantify market risk using the value-at-risk measure and its extensions. Students will apply state-of-the-art risk measurement and risk management techniques which are tractable in practice to complex portfolios. This subject will also provide an introduction to liquidity risk and an overview of the issues involved in assessing operational risk.

This subject contributes to the development of the following graduate attributes:

  • Business knowledge and concepts
  • Critical thinking, creativity and analytical skills
  • Communication and interpersonal skills
  • Attitudes and values
  • Business practice oriented skills

This subject also contributes specifically to develop the following Program Learning Objectives for the Master of Quantitative Finance:

  • 1.1: Access and critically analyse financial data to inform and thus facilitate effective decision making
  • 2.2: Demonstrate integrated solutions in financial decision making
  • 5.1: Master quantitative finance technical skills necessary for professional practice

Teaching and learning strategies

The subject is presented in seminar and practical workshop format. The theoretical concepts are presented in lectures and students are lead through practical application exercises.

This subject will use the ‘flipped education’ model where students will have access to online learning resources and will undertake preliminary learning tasks prior to coming to classes where they engage in further learning and practical workshops. Consistent with Learning Futures, the subjects will enable students to experience an effective integration of online and face-to-face on campus learning.

Content (topics)

  • The Basel regulatory environment and capital requirements for financial risks.
  • Identification of risk factors and risk factor mapping
  • Measuring Market Risk: Standard techniques for value-at-risk. Extensions of the VaR approach with practical workshops
  • Stress testing and backtesting with practical workshops
  • Estimating liquidity risks
  • Issues in measuring operational risk


Assessment task 1: Assignments (Individual)


This assessment task addresses subject learning objective(s):

2, 3 and 4

This assessment task contributes to the development of course intended learning outcome(s):

2.1, 3.1 and 4.2

Weight: 50%

Assessment task 2: Final Exam (Individual)


This assessment task addresses subject learning objective(s):

1, 2, 3, 4 and 5

This assessment task contributes to the development of course intended learning outcome(s):


Weight: 50%

Minimum requirements

Students must achieve at least 50% of the subject’s total marks.

Recommended texts

Jorion, P, Value at Risk: The New Benchmark for Managing Financial Risk, 3rd edition, McGraw-Hill, 2007

Crouhy, M., Galai, D. & Mark, R. , The Essentials of Risk Management, 2nd edition McGraw-Hill, 2015


Hull, J., 2015, Risk Management and Financial Institutions (Wiley Finance).

Dowd. K, 2005, Measuring Market Risk, Wiley Finance.

Stultz, R. 2002, Derivatives and Risk Management, South-Western.

Cuthbertson, K. & Nitzsche, D., 2001, Financial Engineering: Derivatives and Risk Management

McNeil, A., Embrechts, P. & Frey, R., 2015, Qunatitative Risk Management,Concepts, Techniques and Tools, Revised Edn, Princeton Series in Finance.

Other resources

All course materials will be provided to students via the course website ( This will include lecture slides, additional lecture notes, assignments and data. Please check the website regularly for any announcements and for additional useful links/electronic resources.