Modiwl HMB-3001:
Market Risk Analytics
Market Risk Analytics 2024-25
HMB-3001
2024-25
Bangor Business School
Module - Semester 2
10 credits
Module Organiser:
Debbie Gilliland
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.
Assessment Strategy
-threshold -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.
-good -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.
-excellent -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.
-another level-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.
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 method
Exam (Centrally Scheduled)
Assessment type
Crynodol
Description
Exam
Weighting
75%
Assessment method
Exam (Centrally Scheduled)
Assessment type
Crynodol
Description
Online test mid semester
Weighting
25%