Module ASB-3001:
Market Risk Analytics
Markets Risk Analytics 2023-24
ASB-3001
2023-24
Bangor Business School
Module - Semester 2
10 credits
Module Organiser:
Gwion Williams
Overview
Introduction to financial derivatives, option strategies, structured products, option pricing (binomial model and Black-Scholes), greeks, volatility trading, swaps, and interest rate risk and management.
Learning Outcomes
- Comprehend and analyse the role of stochastic modelling in derivative pricing
- Demonstrate a broad understanding of the role of swaps in managing interest rate risks
- Develop and evaluate option and swap strategies for specific market risk problems
- Evaluate the role of derivatives in market risk analytics and in strategic decision making
- Perform a detailed assessment of how to create hedging and speculating strategies depending on the risk preferences of the firm and economic climate
Assessment type
Summative
Weighting
75%
Assessment type
Summative
Weighting
25%