Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor
Lorenzo Casavecchia
E4A517
To be advised
Angela Chow
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Credit points |
Credit points
4
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Prerequisites |
Prerequisites
ACST603 or AFIN858
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Corequisites |
Corequisites
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Co-badged status |
Co-badged status
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Unit description |
Unit description
This unit examines current techniques for measuring and managing the financial risk faced by corporate and financial institutions, with an emphasis on the practical use of derivative financial products such as forwards, futures, swaps and options to manage risk.
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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 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 tasks (not including the final exam mark) will not be addressed.
Name | Weighting | Due |
---|---|---|
Class Test | 20% | Week 6 |
Case Study | 20% | Week 12 |
Final Examination | 60% | Examination period |
Due: Week 6
Weighting: 20%
Description 60 minute written test. Submission Activity completed in class. Absence Absence from the class test is not permitted, except for cases in which an application for special consideration is made and approved.
Due: Week 12
Weighting: 20%
Description Students conduct a case study on a topical issue in risk management and derivatives.
Group work
This task is to be conducted by groups consisting of between 3 and 5 members.
Submission Hand case study report to instructor during class in week 12.
No extensions will be granted. There will be a deduction of 10% 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 – 20% penalty). This penalty does not apply for cases in which an application for disruption of studies is made and approved. No submission will be accepted after solutions have been posted.
Due: Examination period
Weighting: 60%
Description 2 hour exam with 10 minutes reading time.
You are permitted ONE A4 page of paper containing reference material printed on both sides. The material may be handwritten or typed. The page will not be returned at the end of the final examination.
To be eligible to pass this unit, a pass is required in the final examination
Classes
Required and Recommended Texts and/or Materials
Unit Web Page
Technology Used and Required
Week |
Topic |
1 |
Managing risk with forwards/futures and swaps |
2 |
Managing risk with options |
3 |
Pricing forwards/futures and swaps |
4 |
Pricing options: binomial model |
5 |
Pricing options: Black-Scholes-Merton model |
6 |
Class test |
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Mid-session break |
7 |
Measuring risk |
8 |
Managing interest rate and credit risk |
9 |
Major derivatives losses |
10 |
Model risk |
11 |
Ethical issues in risk management |
12 |
Valuing risk management |
13 |
Review |
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
New Assessment Policy in effect from Session 2 2016 http://mq.edu.au/policy/docs/assessment/policy_2016.html. For more information visit http://students.mq.edu.au/events/2016/07/19/new_assessment_policy_in_place_from_session_2/
Assessment Policy prior to Session 2 2016 http://mq.edu.au/policy/docs/assessment/policy.html
Grading Policy prior to Session 2 2016 http://mq.edu.au/policy/docs/grading/policy.html
Grade Appeal Policy http://mq.edu.au/policy/docs/gradeappeal/policy.html
Complaint Management Procedure for Students and Members of the Public http://www.mq.edu.au/policy/docs/complaint_management/procedure.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 Exams
Further information regarding supplementary exams, including dates, is available here http://www.businessandeconomics.mq.edu.au/current_students/undergraduate/how_do_i/special_consideration
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.
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Our postgraduates will be able to demonstrate a significantly enhanced depth and breadth of knowledge, scholarly understanding, and specific subject content knowledge in their chosen fields.
This graduate capability is supported by:
Our postgraduates will be capable of utilising and reflecting on prior knowledge and experience, of applying higher level critical thinking skills, and of integrating and synthesising learning and knowledge from a range of sources and environments. A characteristic of this form of thinking is the generation of new, professionally oriented knowledge through personal or group-based critique of practice and theory.
This graduate capability is supported by:
Our postgraduates will be capable of systematic enquiry; able to use research skills to create new knowledge that can be applied to real world issues, or contribute to a field of study or practice to enhance society. They will be capable of creative questioning, problem finding and problem solving.
This graduate capability is supported by:
Some revision of weekly topics.
Research & Practice: This unit draws on seminal and latest research in derivatives and financial risk management from external sources. Unit concepts are based on theoretical research and practical implications are developed from theoretical and empirical research. This unit gives you practice in applying research findings in your assessment tasks.
Global & Sustainability: Firms operate in global market places. Financial risk management and other corporate decisions take place in the context of globalisation and are subject to sustainability constraints.
In preparing their case study, students are encouraged to use relevant research and to consider the practical, global and sustainability implications for firm choices in the context of risk management. The class test and final examination will also partly test students' understanding of these issues.