Module Catalogues, Xi'an Jiaotong-Liverpool University   
Module Code: MTH305
Module Title: Risk Management
Module Level: Level 3
Module Credits: 5.00
Academic Year: 2020/21
Semester: SEM1
Originating Department: Mathematical Sciences
Pre-requisites: N/A
This module is designed to combine the theories and methodologies of risk modelling with the complex needs of effectively managing risks in practice.

This module also provides a solid theoretical foundation of risk management by introducing risk management models to measure and manage various types of risks through applications, with the emphasis on the implementation of risk models in practice.

This module prepares students to the practical challenges of risk in a professional environment
Learning outcomes 
A. Understand fundamental theories and models in modern risk management.

B. Understand volatility, dependence and extreme-value measures and their importance for financial risk management.

C. Carry out risk analysis using various measures of risk.

D. Identify the nature of market/business-relevant risks, especially market risk, portfolio risk, (counterparty) credit risk, liquidity risk, and operational risk.

E. Conduct comprehensive theoretical analyses and practical applications in risk modelling towards different risk exposures.

F. Use a programming language/ software to conduct risk analysis of asset portfolios.
Method of teaching and learning 
This module will be delivered by a combination of formal lectures, tutorials and computer labs.
Topic: Risk Modelling

- Risk measures, including value-at-risk (VaR) and expected shortfall (ES)

- Correlations and Copulas

- Volatility modelling

- Extreme value theory (EVT)

- Backtesting/stress testing

- Loss distributions

Topic: Equity Risk Management

- Risk model for asset and portfolio returns, sample estimates, normally distributed returns

- Time-dependent volatility models and parameter estimation through software packages

Topic: Interest-rate Risk Management

- Derivation and application of term-structure models, including short-rate models, and Heath, Jarrow and Merton (HJM) model

- Duration and convexity

- Yield curve shifts

Topic: Credit Risk and Counterparty Credit Risk Management

- Derivation and application of credit risk models, including Merton’s model,
and Jarrow & Turnbull’s model

- Credit default swaps (CDS), CDS spreads and risk valuations

- Credit risk mitigation, credit risk VaR, Moody’s KMV, and Vasicek’s model

- Counterparty credit risk modelling

Topic: Liquidity Risk and Operation Risk

- Liquidity risk

-Operation risk

- Regulation, Basel II, Basel III, and Dodd-Frank

- Financial crises: case studies
Delivery Hours  
Lectures Seminars Tutorials Lab/Prcaticals Fieldwork / Placement Other(Private study) Total
Hours/Semester 26    13  8    103  150 


Sequence Method % of Final Mark
1 Coursework 15.00
2 Projects - Portfolio Risk Analysis Using Matlab 15.00
3 Final Exam 70.00

Module Catalogue generated from SITS CUT-OFF: 6/5/2020 8:49:55 PM