BE361-7-SP-CO: Risk Management
Department: Essex Business School
Essex credit: 20
ECTS credit: 10
Available to Study Abroad / Exchange Students: Yes
Full Year Module Available to Study Abroad / Exchange Students for a Single Term: No
Outside Option: No
Pre- or co-requisites: BE351 and (CF961 or BE953)
Comments: CSEE students who believe they may be entitled to exemption from CF961 should consult with the Module Leader
Dr Liya Shen
Dr Liya Shen & Dr Nikolaos Vlastakis
|Module is taught during the following terms
The recent financial crisis and credit crunch have demonstrated that risk management was too narrowly defined as it focused mainly on capital risk and not on liquidity risk, and that much of current financial engineering was based on inadequate and overly optimistic assumptions.
The module will start with an appraisal of Value at Risk (VAR) which is a summary measure of financial risk developed in the 1990s. Various VAR models will be described. The use of stress testing to compliment VAR, especially when portfolios include derivative products, will be discussed. The VAR approach has been extended to and beyond derivatives to encompass firm-wide financial risk management.
However the subprime debacle and the credit crunch have shown that existing approaches to risk management need to be reconsidered, and a discussion of the new Regulatory environment, post crisis given.
1. To study advanced models in risk management such as the VAR methodology.
2. To study techniques for the management of credit risk and the pricing of credit derivatives
3. To examine the role and failings of risk management in the recent sub-prime crisis and the subsequent credit crunch.
By the end of the module students should be able to:
1. Understand the uses and limitations of the VAR approach in the context of risk management.
2. Understand the uses and limitations of credit derivatives such as credit default swaps.
3. Evaluate the empirical evidence on the uses and limitations of extant risk management strategies in the light of the recent sub-prime and banking crises.
Learning and Teaching Methods
1 two-hour lecture per week for ten consecutive weeks. Students are expected to do relevant reading and preparation before the lecture. It is strongly recommended that students also do additional reading to supplement the lecture material.
50 per cent Coursework Mark, 50 per cent Exam Mark
One in-class test
Exam Duration and Period
2:00 during Summer Examination period.
This module is core for:
MSc in Financial Engineering and Risk Management
Postgraduate Administrator - Jade D'Mello
External Examiner Information
- Name: Prof Robert Hutchinson
Institution: University of Ulster
Academic Role: Emeritus Professor