The University of Southampton
Courses

MANG6020 Financial Risk Management

Module Overview

The module explores bank regulations as well as theoretical and practical techniques to measure market risk, interest rate risk and credit risk. It also discusses the theoretical and practical aspects of the risk management techniques employed in the financial services industry to hedge market risk, interest rate risk and credit risk.

Aims and Objectives

Module Aims

To explain the theoretical and practical aspects of the risk management techniques employed in the financial services industry. To compare the regulators’ demands with the needs of the investment banking and insurance worlds. To provide sufficient theoretical and practical knowledge of data modelling techniques to enable you to measure the interest rate, market and credit risks.

Learning Outcomes

Knowledge and Understanding

Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:

  • Regulatory issues concerning investment banks, securities firms and other major financial institutions.
  • How banks/firms try to control financial risks through value-at-risk, derivatives and related models.
  • How to apply internal risk management models to credit risk.
  • How to control for operational risk through regulation.
  • How banks/firms allocate capital among their departments in respect of both volatile and calm market conditions.
Subject Specific Intellectual and Research Skills

Having successfully completed this module you will be able to:

  • Calculate a bank’s market, interest rate, credit and operational risks based on regulatory principles and actual data.
Transferable and Generic Skills

Having successfully completed this module you will be able to:

  • Develop clear logical thinking.
  • Apply teamwork skills in a group work to produce work to deadlines.
  • Compose and communicate ideas effectively, both orally and in writing.
  • Apply knowledge learned in the class to particular problems.

Syllabus

- An introduction to risk and risk management - Bank Regulations and risk control - Market risk measurement and modelling: Value-at-Risk and Volatility modelling - Interest rate risk measurement and management - Credit risk measurement and management - Operational risk management for banking sector

Learning and Teaching

Teaching and learning methods

The course will consist of 6 weekly 4-hour lectures. Discussion threads will be set up for each of the syllabus topics, to which you should post any questions that you have concerning the material.

TypeHours
Independent Study126
Teaching24
Total study time150

Resources & Reading list

Philippe Jorion (2007). Financial Risk Manager Handbook. 

Basle Committee on Banking Supervision (1998). Operational Risk Management. 

Bessis, J (2010). Risk Management in Banking. 

John Hull (2012). Risk Management and Financial Institutions. 

Mishkin and Eakins. Financial Markets and Institution. 

Basle Committee on Banking Supervision (1999). Credit Risk Modelling: Current Practices and Applications. 

Basle Committee on Banking Supervision (1999). A New Capital Adequacy Framework. 

Madura, J (2012). Financial Institutions and Markets. 

Assessment

Formative

Peer assessment

Summative

MethodPercentage contribution
Examination  (2 hours) 70%
Group Assignment  (3000 words) 30%

Repeat

MethodPercentage contribution
Examination  (2 hours) 100%

Referral

MethodPercentage contribution
Examination  (2 hours) 100%

Repeat Information

Repeat type: Internal & External

Costs

Costs associated with this module

Students are responsible for meeting the cost of essential textbooks, and of producing such essays, assignments, laboratory reports and dissertations as are required to fulfil the academic requirements for each programme of study.

In addition to this, students registered for this module typically also have to pay for:

Textbooks

Recommended texts for this module may be available in limited supply in the University Library and students may wish to purchase the core/ recommended text as appropriate.

Please also ensure you read the section on additional costs in the University’s Fees, Charges and Expenses Regulations in the University Calendar available at www.calendar.soton.ac.uk.

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