Quantitative Risk Management
| Code | School | Level | Credits | Semesters |
| BUSI4428 | Business | 4 | 20 | Spring UK |
- Code
- BUSI4428
- School
- Business
- Level
- 4
- Credits
- 20
- Semesters
- Spring UK
Summary
Introduction and historical overview; Statistical Underpinnings of Quantitative Risk Management; Measures of Financial Risk; Risk measurement in practice: Parametric Approaches, Non-Parametric Approaches, Monte Carlo Approaches, Extreme Value Approaches; Liquidity Risk; Backtesting; Credit Risk.
Target Students
Only available for MSc Risk Management students andMSc Banking and Finance students and MSc Exchange students.
Classes
- Two 2-hour lectures each week for 11 weeks
44 hours lecture contact. The balance of 156 hours made up from independent study (90 hours), coursework preparation (40 hours) and test preparation (26 hours).
Assessment
- 80% Coursework 1: Individual coursework - 2,500 words
- 20% Coursework 2: 4 Online tests
Educational Aims
To provide students with a conceptual introduction to the basic principles and practices of modern quantitative financial risk management, and to give them experience of carrying out the calculations involved using appropriate software.Learning Outcomes
Knowledge and understanding:
This module develops a knowledge and understanding of:
• Markets - the development and operation of markets for resources, goods and services
• The use of accounting and other information systems for managerial applications
• Tools and techniques for transforming (big) data into useful information for business analysis and decision support
Intellectual Skills:
This module develops:
• Being able to think critically and be creative: manage the creative processes in self and others; organise thoughts, analyse, synthesise and critically appraise. This includes the capability to identify assumptions, evaluate statements in terms of evidence, detect false logic or reasoning, identify implicit values, define terms adequately and generalise appropriately
• Being able to solve complex problems and make decisions: establish criteria, using appropriate decision-making techniques including identifying, formulating and solving business problems; and the ability to create, identify and evaluate options; the ability to implement and review decisions
• Using information and knowledge effectively in order to abstract meaning from information and to share knowledge, including the use of quantitative skills
Professional Practical Skills:
This module develops:
• The ability to conduct research and enquiry into business and management issues either individually or as part of a team through research design, the collection and analysis of quantitative data, synthesis and reporting
Conveners
- Timothy Worrin Jack Bailey