University of Technology Sydney

25935 Asset Pricing and 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 2021 is available in the Archives.

UTS: Business: Finance
Credit points: 6 cp

Subject level:

Undergraduate

Result type: Grade and marks

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

Description

This subject provides students with the skills and knowledge to analyse asset pricing issues especially with regard to trading and investment decisions. Students develop knowledge about financial assets, markets and trading in combination with an understanding of risk models and asset pricing theories. Students apply this knowledge to make investment and trading decisions along with appropriate risk management.

Subject learning objectives (SLOs)

Upon successful completion of this subject students should be able to:
1. Demonstrate analytical skills to map a practical investment decision into an economic framework for theoretical and empirical analyses
2. Demonstrate an understanding of main asset pricing theories and risk management models, their assumptions and limitations, and their industry applications
3. Demonstrate empirical knowledge of financial assets, markets, and trading
4. Conduct empirical analysis for investment decisions and risk management

Contribution to the development of graduate attributes

This subject enables students to achieve advanced understanding of the theories and practices of asset pricing and risk management. It contributes particularly to the development of the following graduate attributes:

  1. Business knowledge and concepts
  2. Critical thinking, creativity and analytical skills
  3. Business practice oriented skills

Teaching and learning strategies

Students will have pre-readings to complete before in class lectures/seminars and discussions. A significant portion of face-to-face class time will be devoted to projects/case studies as well as interaction with industry speakers.

Content (topics)

  1. Advanced asset pricing models and empirical tests
  2. Return predictability in time-series and cross-section
  3. Market imperfections
  4. Investor behaviour
  5. Derivative pricing
  6. Risk management

Assessment

Assessment task 1: In-class tests (Individual)

Objective(s):

This addresses subject learning objective(s):

1, 2 and 3

Weight: 40%
Length:

The duration of quizzes 1 and 2 is 45 minutes. Quiz 3 has 90 minutes

Assessment task 2: Assignments (Individual)

Objective(s):

This addresses subject learning objective(s):

1, 2, 3 and 4

Weight: 40%
Length:

The report should be no more than 10 pages with 1.5 line space and 11 point font size. The page limit is all inclusive (text, tables, etc.) and may be relaxed with the explicit permission from the lecturer.

Assessment task 3: Research Proposal (Individual)

Objective(s):

This addresses subject learning objective(s):

1, 2 and 3

Weight: 20%
Length:

The proposal should be no more than 10 pages with 1.5 line space and 11 point font size. The page limit is all inclusive (text, tables, etc.) and may be relaxed with the explicit permission from the lecturer.

Minimum requirements

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