Market Risk Analysis
Run by Bangor Business School - (Changsha)
10.000 Credits or 5.000 ECTS Credits
Organiser: Ms Wendy Ashurst
Overall aims and purpose
To provide an introduction to the key concepts of market risk analysis and financial engineering. This module examines derivatives such as options, swaps, and securitization.
The module will look at how derivatives can be used for speculative, hedging, and arbitrage strategies, how derivatives are priced, and how they can be used to manage risk.
Microsoft Excel is used for the testing and application of theories.
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.
B- to B+ (60-69%): Very good performance Most of the relevant information accurately deployed. Good grasp of theoretical/conceptual/practical elements. Good integration of theory/practice/information in pursuit of the assessed work's objectives. Evidence of the use of creative and reflective skills.
A- to A+ (70%+): Outstanding Performance. The relevant information accurately deployed. Excellent grasp of theoretical/conceptual/practice elements. Good integration of theory/practice/information in pursuit of the assessed work's objectives. Strong evidence of the use of creative and reflective skills.
C- to C+
C- to C+ (50-59%): Much of the relevant information and skills mostly accurately deployed. Adequate grasp of theoretical/conceptual/practical elements. Fair integration of theory/practice/information in the pursuit of the assessed work's objectives. Some evidence of the use of creative and reflective skills.
D- to D+ (40-49%): No major omissions or inaccuracies in the deployment of information/skills. Some grasp of theoretical/conceptual/practical elements. Integration of theory/practice/information present intermittently in pursuit of the assessed work's objectives.
Evaluate the role of derivatives in market risk analytics and in strategic decision making
Demonstrate a broad understanding of the role of swaps in managing interest rate risks
Comprehend and analyse the role of stochastic modelling in derivative pricing
Perform a detailed assessment of how to create hedging and speculating strategies depending on the risk preferences of the firm and economic climate
Develop and evaluate option and swap strategies for specific market risk problems.
Teaching and Learning Strategy
2-hour lecture per week, including some practical sessions within this time.
8-hours private study per week on average. This will involve revising lecture material, completing exercises, and textbook readings.
- Literacy - Proficiency in reading and writing through a variety of media
- Numeracy - Proficiency in using numbers at appropriate levels of accuracy
- Self-Management - Able to work unsupervised in an efficient, punctual and structured manner. To examine the outcomes of tasks and events, and judge levels of quality and importance
- Exploring - Able to investigate, research and consider alternatives
- Information retrieval - Able to access different and multiple sources of information
- Inter-personal - Able to question, actively listen, examine given answers and interact sensitevely with others
- Critical analysis & Problem Solving - Able to deconstruct and analyse problems or complex situations. To find solutions to problems through analyses and exploration of all possibilities using appropriate methods, rescources and creativity.
- Presentation - Able to clearly present information and explanations to an audience. Through the written or oral mode of communication accurately and concisely.
- Teamwork - Able to constructively cooperate with others on a common task, and/or be part of a day-to-day working team
- Management - Able to utilise, coordinate and control resources (human, physical and/or financial)
- Argument - Able to put forward, debate and justify an opinion or a course of action, with an individual or in a wider group setting
- Self-awareness & Reflectivity - Having an awareness of your own strengths, weaknesses, aims and objectives. Able to regularly review, evaluate and reflect upon the performance of yourself and others
Courses including this module
Compulsory in courses:
- N392: BSc Banking & Finance (Bangor College, China) year 3 (BSC/BFINBC)