Module ETB-3111:
Market Risk Analytics
Market Risk Analytics 2023-24
ETB-3111
2023-24
Bangor Business School
Module - Semester 2
10 credits
Module Organiser:
Bruce Vanstone
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
Description
Online test mid semester
Weighting
25%
Assessment type
Summative
Description
Exam
Weighting
75%