125.781
Advanced Financial Risk Management
COURSE GUIDE
Manawatu Internal and Distance
(MTUI & DISD)
Semester 2 2024
Course Staff
My major teaching subjects are Corporate Finance and Research and Analytics in Economics and Finance. My research interests cover a wide range, including corporate finance, portfolio investments, and asset pricing.
What is this course about?
Summary of the course
This course considers the roles of financial risk management in reducing risk and/or increasing returns in an organization. Students will be exposed to advanced financial risk management from both theoretical and empirical perspectives.
Course student learning outcomes
Students who successfully complete this paper should be able to:
1) Appraise current academic research in the area of risk management and risk management strategies used by firms.
2) Design and implement advanced forward and futures hedging strategies in order to manage financial risk.
3) Assess the pricing of derivatives and appraise their implications in hedging risk.
4) Articulate the principles of credit risk, Value-at-Risk and strategies used by firms to manage such risks.
Relationship to other courses
You may enroll in a postgraduate course (that is a 700-, 800- or 900-level course) if you meet the prerequisites for that course and have been admitted to a qualification which lists the course in its schedule.
Prerequisite(s): 125.700 or 125.330 or Appraisal Required. You need to complete the course or courses before moving onto this one.
Corequisite courses: 125.700. You need to complete the corequisite course at the sametime as doing this one.
Overview of the topics covered
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MODULE 1: Futures and Swaps
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Week 1
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Derivative Contracts and Markets
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Week 2
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Futures and Hedging Strategies using Futures
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Week 3
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Interest Rate and Interest Rate Futures
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Week 4
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Pricing of Futures
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Week 5
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Swaps
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MODULE 2: Options
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Week 6
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Stock Options
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Week 7
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Internal Test
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Week 8
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Trading Strategies involving Options
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Week 9
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Pricing of Options
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MODULE 3: VaR and Credit Risk
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Week 10
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Value at Risk & Credit Risk
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MODULE 4: Others
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Week 11
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Student Oral Presentation
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Week 12
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Final Review
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How is this course assessed?
NB. Due to the potential of unforeseen pandemic developments, please refer to the course Stream site for updated information regarding lectures, assessments, etc. This information will be regularly updated if the situation changes.
The assessment components
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Assessment
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Learning Outcomes
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Percentage Weighting
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Due Dates
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Internal Test
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1,2,3
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10%
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Week 7
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Case Study
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1,2,3,4
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10%
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Week 12
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Written/Presentation Assignment
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1,2,3,4
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30%
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Week 12
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Final Exam
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1,2,3,4
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50%
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TBC
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Assignment Extensions
An extension of time to complete an assignment maybe granted at the discretion of the course coordinator in the case of unforeseen circumstances such as misadventure or illness. Applications for an extension of time should be made to the course coordinator by email or in person. You may be required to substantiate your application with appropriate documentary evidence such as medical certificates, accident reports etc. (Please note that work commitments, computer failures, or lack of commitment from other group members are usually considered insufficient grounds for an extension.)
Please let your course or offering coordinator know as soon as possible if you need an extension. We want to assist, but we need to hear from you.
Late Assignments
We expect that you will work diligently to manage your workload and plan assignment preparation so you can submit in a timely fashion. This is part of the expectations for academic study. However, we also know that unexpected circumstances can and do arise.
If you do miss the deadline and you did not ask for an extension, you may still submit your assignment late. However, in usual circumstances:
• A penalty of 2 marks out of 100 per day (including weekends) will be applied to the final mark.
• Assignments that are 8-14 days late may receive little, if any, written feedback and may not be returned within the three-week turnaround time.
If your assignment arrives 15+ days after the deadline it will not be marked, and you will receive a zero grade.
Student Submission of Assignments
Many of you are aware of the increasing difficulties educational institutions are having dealing with issues of plagiarism. This problem impacts on students as it disadvantages honest students, undermines the credibility of the qualification, and takes up huge staffing resources that could be better spent elsewhere. Massey uses Turnitin®,a text matching web application, as one of a variety of methods and technologies to detect and deal with the problem. The electronic version of the assignment you submit will be compared with material available on the worldwide web including many electronic books,journals, newspapers, cheat sites (or paper mills), webpages and previously submitted assignments.
Please gotohttp://www.massey.ac.nz/?ta5c75148n for instructions on how to upload your assignments to the Stream course website.