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FIN41360

Academic Year 2024/2025

Portfolio & Risk Mgt (FIN41360)

Subject:
Finance
College:
Business
School:
Business
Level:
4 (Masters)
Credits:
8
Module Coordinator:
Dr Emmanuel Eyiah-Donkor
Trimester:
Spring
Mode of Delivery:
On Campus
Internship Module:
No
How will I be graded?
Letter grades

Curricular information is subject to change.

This is a one-trimester course examining financial risk management and portfolio allocation related topics. It is assumed that students have an understanding of asset pricing and portfolio theory, allowing this course to concentrate on the financial risk management process and asset allocation, when necessary complemented by the study of more advanced asset pricing and portfolio theory results. Increasingly, it is hard to separate traditional institutional portfolio management from more active strategies and risk management, therefore, a large amount of material takes the perspective of relatively active investors. A core component of the course is adopting Matlab and Excel software (and possibly Python) with a view to implementing sophisticated financial risk management and portfolio design methods and practices.

About this Module

Learning Outcomes:

At the end of this course students should
1) Have a competent understanding of the portfolio allocation and financial risk management literatures, as well as of recent and relatively advanced developments in asset pricing and portfolio theory which help tackle the financial risk management and portfolio allocation problems in a more satisfactory manner;
2) Be able to implement the key methods in modern asset allocation and risk management;
3) Have an in-depth knowledge in an area of their choice.

Indicative Module Content:

• Portfolio Optimization/Choice
• Portfolio/Fund Management Performance Evaluation and Attribution
• Market Risk Modelling
• Credit Risk Modelling
• Risk, Regulation, and Capital Management

Student Effort Hours:
Student Effort Type Hours
Lectures

24
Tutorial

9
Autonomous Student Learning

188
Total

221

Approaches to Teaching and Learning:
Lectures; practical application of key methods and techniques; group work; student presentations

Requirements, Exclusions and Recommendations

Not applicable to this module.


Module Requisites and Incompatibles
Not applicable to this module.
 

Assessment Strategy  
Description Timing Component Scale Must Pass Component % of Final Grade In Module Component Repeat Offered
Group Work Assignment: The group project assignment involves an empirical investigation on portfolio choice, fund managment, and performance attribution part of the module. It will involve a written submission. Week 1, Week 2, Week 3, Week 4, Week 5, Week 6, Week 7 Standard conversion grade scale 40% No

20

 No
Group Work Assignment: The group project assignment involves an empirical investigation on risk modelling (market and credit risks) part of the module. It will involve a written submission. Week 8, Week 9, Week 10, Week 11, Week 12 Standard conversion grade scale 40% No

20

 No
Group Work Assignment: Presentations on the two group project assignments. Week 7, Week 12 Standard conversion grade scale 40% No

20

 No
Exam (Online): Online tests: one on portfolio choice and performance attribution and the other on risk modelling. It will assess the level of individual preparation attained through the group project assignments. Week 8, Week 14 Standard conversion grade scale 40% No

40

 No

Carry forward of passed components
Yes
 

Resit In Terminal Exam
Summer No
Please see Student Jargon Buster for more information about remediation types and timing. 

Feedback Strategy/Strategies

• Feedback individually to students, post-assessment
• Group/class feedback, post-assessment

How will my Feedback be Delivered?

Students will receive feedback, both oral and written and in-class and out of class, on assesment components 2-3 weeks (approximately) after assessment and throughout the semester.

As the course includes topics on both asset allocation/portfolio management and risk management/modelling, there is no single textbook that covers them all. There will therefore be some main textbook-like references which will be complemented by assigned readings and academic articles.

1. For Asset Allocation/Portfolio Management topics
• Zvi Bodie, Alex Kane, and Alan Marcus (2021), Investments, 12th Edition. McGraw-Hill education series in finance, insurance, and real estate.
• David Luenberger (2013), Investment Science, 2nd Edition, Oxford University Press
• Jean-Pierre Danthine and John Donaldson (2014), Intermediate Financial Theory, 3rd Edition, Academic Press

2. For Risk Modelling/Management topics
• John Hull (2023), Risk Management and Financial Institutions, 6th Edition, Wiley
• Jon Danielsson (2011), Financial Risk Forecasting, Wiley

Name Role
Dr Emmanuel Eyiah-Donkor Lecturer / Co-Lecturer
Lanxin Lu Tutor
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