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Curricular information is subject to change
On completing this module students will
• be able to formulate a basic Financial Decisionmaking and/or Risk Management problem mathematically as a Constrained Optimisation problem and deploy a standard solver to obtain a solution
• Be able to compute (and simulate via Monte Carlo) Value at Risk, Expected Shortfall, and Credit Value Adjustment (CVA/XVA)
• know how to use derivative instruments to manage risk
• be able to use Latency and other Computational methods to detect heightened levels of Portfolio Risk (including Credit Risk)
• understand the principles and approaches to managing risk in a multi-period (dynamic) setting
In addition to a general overview of the qualitative issues encountered in Financial Risk management, the following
specific topics will be among those to be covered and emphasised.
-Optimal Long-term Investment Growth in a Multi-Period setting and the Information Theory ('Kelly') connection
-Mathematical Programming for Risk Management; Constrained optimisation (including Mean-Variance analysis)
-Arrow-Debreu Securities and Model-Free Derivatives Pricing
-Risk Assessment - Value at Risk (VaR) vs. C-VaR and other 'Coherent' risk measures, both parametric and Monte Carlo/Bootstrapping
-Methods for Credit/Debit Value Adjustment (CVA & DVA)
-Models for representing Statistical Association; Gaussian Copulae (plus associated pitfalls).
-General Multi-Period Financial Optimisation and Risk Management - Dynamic and Stochastic Programming
-Machine Learning models for Risk Management (Time Permitting)
Student Effort Type | Hours |
---|---|
Autonomous Student Learning | 90 |
Lectures | 24 |
Tutorial | 12 |
Total | 126 |
Not applicable to this module.
Description | Timing | Component Scale | % of Final Grade | ||
---|---|---|---|---|---|
Class Test: Optional - Near Middle of term (TBA) May be replaced by marks from Final Exam |
Unspecified | n/a | Alternative linear conversion grade scale 40% | No | 20 |
Examination: Final Exam | 2 hour End of Trimester Exam | No | Alternative linear conversion grade scale 40% | No | 40 |
Group Project: 3 Parts - TBA Will include an 'Individual Contribution' component |
Unspecified | n/a | Alternative linear conversion grade scale 40% | No | 40 |
Remediation Type | Remediation Timing |
---|---|
In-Module Resit | Prior to relevant Programme Exam Board |
• Feedback individually to students, post-assessment
• Group/class feedback, post-assessment
• Online automated feedback
All Continuous Assessment will be Group-Based according to the following steps: 1. Each member of the group submits online a draft of required work or individual contribution to group work (time schedule provided, prior to due date) 2. Groups complete required Assignment or Task 3. Group Submission Members of a Group shall all receive the same grade, except in cases where one or more members' early drafts are consistently lacking relative to the others'. Feedback will be online (with comments and explanation where needed) Final Examination will be assessed with online automated and partially individualised feedback.
Name | Role |
---|---|
Mr Shivam Agarwal | Tutor |
Tutorial | Offering 1 | Week(s) - 20, 21, 22, 23, 24, 25, 26, 29, 30, 31, 32, 33 | Thurs 14:00 - 14:50 |
Lecture | Offering 1 | Week(s) - 20, 21, 22, 23, 24, 25, 26, 29, 30, 31, 32, 33 | Tues 09:00 - 10:50 |