Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor
Chi Truong
Contact via Email
E4A 452
Wed 4-5pm during teaching weeks. Other times by appointment.
Lecturer
Geoff Loudon
Contact via Email
E4A 230
Wed 1-2pm during teaching weeks. Other times by appointment.
Teaching Assistant
Veronica Chen
Contact via Email
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Credit points |
Credit points
3
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Prerequisites |
Prerequisites
6cp at 200 level including (AFIN252 or (AFIN250 and (AFIN270 or STAT272)))
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Corequisites |
Corequisites
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Co-badged status |
Co-badged status
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Unit description |
Unit description
The aim of this unit is to prepare students for analytical duties a graduate is expected to carry out in a financial institution, or for research for a higher degree. On completing the unit, successful students also attain practical knowledge of how to apply and evaluate the quantitative methods covered in the unit in analysing and managing portfolios as well as the risk arising from various financial investments. In particular, students are expected to be able to: examine and find optimal investments strategies with respect to risk and return; attain an excellent knowledge of the role and characteristics of international financial markets and institutions; understand the pricing of various financial products and how they can be used for hedging; evaluate econometric models for financial variables; and acquire an extensive knowledge on the major approaches to managing market, credit and operational risks. By undertaking this unit, students have an opportunity to consolidate and extend the knowledge they attained in first and second year finance units. Students are introduced to advanced techniques in financial markets and risk management practices with plenty of opportunities to apply them to real-world data through several tutorial tasks and a written assignment.
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Information about important academic dates including deadlines for withdrawing from units are available at https://www.mq.edu.au/study/calendar-of-dates
On successful completion of this unit, you will be able to:
It is the responsibility of students to view their marks for each within session assessment on iLearn within 20 working days of posting. If there are any discrepancies, students must contact the unit convenor immediately. Failure to do so will mean that queries received after the release of final results regarding assessment marks (not including the final exam mark) will not be addressed.
A Standardised Numerical Grade (SNG) gives you an indication of how you have performed within the band for your descriptive grade. The SNG is not a mark, and you may not be able to work it out based on your raw examination and other assessment marks. Nor are you able to determine you are “one mark away” from a different grade.
Name | Weighting | Due |
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Class Test | 20% | Week 7 in lectures |
Assignment | 20% | Fri 30/10/2015 11:59pm AEST |
Final Examination | 60% | University examination period |
Due: Week 7 in lectures
Weighting: 20%
The Class Test is scheduled to be held during the regular lecture in Week 7. The total time available for the class test is 90 minutes. The class test is based on topics covered during lectures 1 to 5, inclusive. No dictionaries of any kind are allowed in the class test. Non-programmable calculators are allowed, provided that they are not capable of storing text. Refer to iLearn for further details.
No extensions will be granted. Students who do not sit the test will be awarded a mark of 0, except for cases in which an application for special consideration is made and approved.
Due: Fri 30/10/2015 11:59pm AEST
Weighting: 20%
The Assignment investigates a topical issue in financial risk management chosen by the convenor. Students will work in groups of 3 or 4. The assignment must be submitted to Turnitin. Refer to iLearn for further details.
No extensions will be granted. Late assignments will be accepted up to 72 hours after the submission deadline. There will be a deduction of 20% of the total available marks made from the total awarded mark for each 24 hour period or part thereof that the submission is late (for example - 25 hours late in submission - 40% penalty). This penalty does not apply for cases in which an application for special consideration is made and approved.
Due: University examination period
Weighting: 60%
The Final Exam lasts 3 hours with 10 minutes reading time. The exam will cover all topics taught across the entire unit. You are permitted ONE A4 page of paper containing reference material on both sides. The material must be handwritten. The page will not be returned at the end of the final examination. No dictionaries of any kind are allowed in the class test. Non-programmable calculators are allowed, provided that they are not capable of storing text. Refer to iLearn for further details.
To be eligible to pass this unit, a pass is required in the final examination.
Classes in this unit are composed of a two-hour lecture, and a one-hour tutorial. Lectures commence in Week 1 and tutorials commence in Week 2. Tutorials will lag the lectures. For example, the tutorial in Week 2 will cover the questions assigned from the lecture in Week 1.
Unit materials are learnt by attending lectures, by attempting tutorial questions prior to the tutorial, and through independent learning. The lectures provide a general overview of the topics highlighting a number of concepts and techniques. Further additional reading material may be provided. Students are strongly advised to study the additional reading material provided provided by the unit convenor, and further explore all relevant concepts and techniques.
All students are required to attend their timetabled classes. The timetable for classes can be found on the University web site http://www.timetables.mq.edu.au/
Hull, J. (2015) Risk Management and Financial Institutions, 4th Edition, Wiley.
This book can be purchased from the Macquarie University Co-op Bookshop.
We may supplement the text with readings from journals and other textbooks as required.
Financial and scientific calculators may be used in any examination for this unit. Only non-programmable calculators (no text retrieval capacity) are allowed in an examination
If you choose to buy a financial calculator and are planning to enrol in the Chartered Financial Analysts (CFA) course after you graduate from Macquarie University, you may wish to purchase a financial calculator that meets CFA examination requirements. For specific requirements, see the CFA Institute’s web-site, http://www.cfainstitute.org. The two CFA-approved calculators are:
Another recommended calculator is the Hewlett Packard HP17BII or HP17BII+. This is used in Macquarie University’s Master of Applied Finance program.
Week |
Hull chapters |
Topic |
1 |
1-6 |
Introduction |
2 |
7-9 |
Managing market and interest rate risk |
3 |
10, 11 |
Volatility, Correlations and Copulas |
4 |
12, 13 |
Value-at-Risk, Expected Shortfall: theory |
5 |
13, 14 |
Value-at-Risk, Expected Shortfall: practice |
6 |
15-17 |
Regulation |
7 |
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Class test |
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Mid session break |
8 |
18, 19 |
Credit risk |
9 |
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No classes this week due to public holiday |
10 |
20, 21 |
CVA, DVA and Credit VaR |
11 |
22, 23 |
Scenario analysis, stress testing and operational risk |
12 |
24, 25 |
Liquidity and model risk |
13 |
26-28 |
Economic capital, enterprise risk management |
Macquarie University policies and procedures are accessible from Policy Central. Students should be aware of the following policies in particular with regard to Learning and Teaching:
Academic Honesty Policy http://mq.edu.au/policy/docs/academic_honesty/policy.html
Assessment Policy http://mq.edu.au/policy/docs/assessment/policy.html
Grading Policy http://mq.edu.au/policy/docs/grading/policy.html
Grade Appeal Policy http://mq.edu.au/policy/docs/gradeappeal/policy.html
Grievance Management Policy http://mq.edu.au/policy/docs/grievance_management/policy.html
Disruption to Studies Policy http://www.mq.edu.au/policy/docs/disruption_studies/policy.html The Disruption to Studies Policy is effective from March 3 2014 and replaces the Special Consideration Policy.
In addition, a number of other policies can be found in the Learning and Teaching Category of Policy Central.
Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/support/student_conduct/
Results shown in iLearn, or released directly by your Unit Convenor, are not confirmed as they are subject to final approval by the University. Once approved, final results will be sent to your student email address and will be made available in eStudent. For more information visit ask.mq.edu.au.
Supplementary Examinations
Further information regarding supplementary exams, including dates, is available here
Macquarie University provides a range of support services for students. For details, visit http://students.mq.edu.au/support/
Learning Skills (mq.edu.au/learningskills) provides academic writing resources and study strategies to improve your marks and take control of your study.
Students with a disability are encouraged to contact the Disability Service who can provide appropriate help with any issues that arise during their studies.
For all student enquiries, visit Student Connect at ask.mq.edu.au
For help with University computer systems and technology, visit http://informatics.mq.edu.au/help/.
When using the University's IT, you must adhere to the Acceptable Use Policy. The policy applies to all who connect to the MQ network including students.
Our graduates will take with them the intellectual development, depth and breadth of knowledge, scholarly understanding, and specific subject content in their chosen fields to make them competent and confident in their subject or profession. They will be able to demonstrate, where relevant, professional technical competence and meet professional standards. They will be able to articulate the structure of knowledge of their discipline, be able to adapt discipline-specific knowledge to novel situations, and be able to contribute from their discipline to inter-disciplinary solutions to problems.
This graduate capability is supported by:
We want our graduates to be capable of reasoning, questioning and analysing, and to integrate and synthesise learning and knowledge from a range of sources and environments; to be able to critique constraints, assumptions and limitations; to be able to think independently and systemically in relation to scholarly activity, in the workplace, and in the world. We want them to have a level of scientific and information technology literacy.
This graduate capability is supported by:
Our graduates should be capable of researching; of analysing, and interpreting and assessing data and information in various forms; of drawing connections across fields of knowledge; and they should be able to relate their knowledge to complex situations at work or in the world, in order to diagnose and solve problems. We want them to have the confidence to take the initiative in doing so, within an awareness of their own limitations.
This graduate capability is supported by:
We want to develop in our students the ability to communicate and convey their views in forms effective with different audiences. We want our graduates to take with them the capability to read, listen, question, gather and evaluate information resources in a variety of formats, assess, write clearly, speak effectively, and to use visual communication and communication technologies as appropriate.
This graduate capability is supported by:
Some minor changes in topic coverage, consistent with revisions in latest edition of the required textbook.
Assessment tasks changed:
2014: Assessed Coursework 10%; Class Test 15%; Assignment 20%; Final Examination 55%
2015: Class test 20%; Assignment 20%; Final exam 60%
Date | Description |
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15/07/2015 | Update supplementary exam information. |
15/07/2015 | Update email address. |