Markets Risk Analytics
Markets Risk Analytics 2022-23
Bangor Business School
Module - Semester 2
Topics may include but not be limited to: Introduction to financial derivatives, Option strategies, Structured products, Option pricing (binomial model and Black-Scholes), Greeks, Volatility trading, Swaps, Interest rate risk and management.
-threshold -C- to C+ (50-59%). Demonstration of the required knowledge and techniques but with significant mistakes and little development of the subject beyond lecture material.
-good -B- to B+ (60-69%). Clear understanding of the subject, together with evidence of investigation and understanding of theoretical and application, but with some minor errors.
-excellent -A- to A* (70-100%). Excellent grasp of the concepts and techniques together with significant evidence of engagement and understanding of the theory and application in this area.
- Comprehend and critically analyse the role of stochastic modelling in derivative pricing
- Critically evaluate the role of derivatives in market risk analytics and in strategic decision making
- Demonstrate a broad and in-depth understanding of the role of swaps in managing interest rate risks
- Develop and evaluate option and swap strategies for specific market risk problems
- Develop skills to implement and evaluate learning outcomes in Excel
- Perform a detailed assessment of how to create hedging and speculating strategies depending on the risk preferences of the firm and economic climate
Exam (Centrally Scheduled)
End of semester exam