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Curricular information is subject to change
Understand the causes and consequences of credit risk applied to cash and derivative financial securities.
Review the assumptions underlying various derivative pricing models and to consider the impact of the credit risk and funding requirements on these models.
Understand the major categories of credit risk models.
Analyse the drivers of counterparty credit risk for different categories of derivative securities.
Develop mathematical models to quantify various valuation adjustments for derivatives securities.
Analyse the pricing dynamics of these valuation adjustment models.
Student Effort Type | Hours |
---|---|
Lectures | 36 |
Tutorial | 12 |
Autonomous Student Learning | 152 |
Total | 200 |
It is necessary for the student to have taken MATH40430 and ACM30080 (or equivalent) in order to take this module. It is also necessary for the student to have taken MATH40690 and MATH40720.
Description | Timing | Component Scale | % of Final Grade | ||
---|---|---|---|---|---|
Continuous Assessment: Continuous assessment: -Homework 1 (10%) -Homework 2 (20%) -Mid term exam (10%) |
Throughout the Trimester | n/a | Standard conversion grade scale 40% | No | 40 |
Examination: Written examination. | 2 hour End of Trimester Exam | No | Standard conversion grade scale 40% | No | 60 |
Resit In | Terminal Exam |
---|---|
Summer | No |
• Group/class feedback, post-assessment
Not yet recorded.
Name | Role |
---|---|
Mr Joe Naughton | Lecturer / Co-Lecturer |
Lecture | Offering 1 | Week(s) - 20, 21, 23, 24, 25, 26, 29, 30, 32, 33 | Mon 12:00 - 13:50 |
Lecture | Offering 1 | Week(s) - 20, 21, 22, 23, 24, 25, 26, 29, 30, 31, 32, 33 | Thurs 15:00 - 17:50 |