Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor, Lecturer
Lei Shi
Contact via Email
4ER Room 737
MON 10AM-12PM
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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:
Name | Weighting | Hurdle | Due |
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Early Diagnostic Quiz | 0% | No | Week 4 |
Class Test | 30% | No | Week 8 |
Assignment | 10% | No | Week 10 |
Final Examination | 60% | No | University exam period |
Due: Week 4
Weighting: 0%
Please use the quiz as an indicator of whether you are progressing satisfactorily in the unit. If you are having difficulties, please see the Unit Convenor and consider withdrawing before the submission date in Week 4.
Type of Collaboration: Individual Submission: via iLearn Format: Online Multiple Choice Length: 1 hour Inherent Task Requirements: Refer to iLearn Late Submission: No extensions will be granted. Students who have not submitted the task prior to the deadline will be awarded a mark of 0 for the task, except for cases in which an application for special consideration is made and approved.
Due: Week 8
Weighting: 30%
Due: Week 10
Weighting: 10%
Due: University exam period
Weighting: 60%
The exam will cover all topics taught across the entire unit. Further details will be provided on the unit iLearn website.
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 to you at the end of the final examination.
Non-programmable calculators without text retrieval capacity are allowed.
Type of Collaboration: Individual Submission: Invigilated test Format: Short Answer Questions (theory and calculations) Length: 2.5 hours with 10 minutes reading time Inherent Task Requirements: Refer to iLearn Late Submission: No extensions will be granted. Students who have not submitted the task prior to the deadline will be awarded a mark of 0 for the task, except for cases in which an application for special consideration is made and approvedRequired Text: |
Hull, J. (2018) Risk Management and Financial Institutions, 5th 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. |
Unit Web Page: | |
Technology Used and Required: |
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Delivery Format and Other Details: |
Classes
Timetables All students are required to attend their timetabled classes. The timetable for classes can be found on the University web site https://www.timetables.mq.edu.au/2019/ |
Recommended Readings: | |
Other Course Materials: |
Week | Textbook chapters | Topic |
1 | 1-6 | Introduction |
2 | 7-9 | Managing Market and Interest Rate Risk |
3 | 10, 11 | Volatility, Correlation and Copulas |
4 | 12, 13 | Value-at-Risk, Expected Shortfall and Historic Simulation |
5 | 13, 14 | Model-building Approach to Value-at-Risk and Expected Shortfall |
6 | 15-18 | Regulation |
7 | 17, 19 | Credit Risk |
Mid session break | ||
8 | Class Test | |
9 | No classes 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 | 26-29 | Economic Capital, Enterprise Risk Management, Financial Innovation and Risk Management Mistakes to Avoid |
Macquarie University policies and procedures are accessible from Policy Central (https://staff.mq.edu.au/work/strategy-planning-and-governance/university-policies-and-procedures/policy-central). Students should be aware of the following policies in particular with regard to Learning and Teaching:
Undergraduate students seeking more policy resources can visit the Student Policy Gateway (https://students.mq.edu.au/support/study/student-policy-gateway). It is your one-stop-shop for the key policies you need to know about throughout your undergraduate student journey.
If you would like to see all the policies relevant to Learning and Teaching visit Policy Central (https://staff.mq.edu.au/work/strategy-planning-and-governance/university-policies-and-procedures/policy-central).
Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/study/getting-started/student-conduct
Results published on platform other than eStudent, (eg. iLearn, Coursera etc.) 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 or if you are a Global MBA student contact globalmba.support@mq.edu.au
Supplementary exams
Information regarding supplementary exams, including dates, is available at:
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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
If you are a Global MBA student contact globalmba.support@mq.edu.au
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When using the University's IT, you must adhere to the Acceptable Use of IT Resources Policy. The policy applies to all who connect to the MQ network including students.
We want our graduates to have emotional intelligence and sound interpersonal skills and to demonstrate discernment and common sense in their professional and personal judgement. They will exercise initiative as needed. They will be capable of risk assessment, and be able to handle ambiguity and complexity, enabling them to be adaptable in diverse and changing environments.
This graduate capability is supported by:
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: