Unit convenor and teaching staff |
Unit convenor and teaching staff
Convenor, Lecturer
Lei Shi
Contact via Email
4ER 514
Kai Li
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Credit points |
Credit points
10
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Prerequisites |
Prerequisites
(AFIN252 or AFIN2052 or AFIN250 or AFIN2050) and (AFIN270 or AFIN2070 or STAT272 or STAT2372)
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Corequisites |
Corequisites
|
Co-badged status |
Co-badged status
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Unit description |
Unit description
This unit examines optimal investments strategies with respect to risk and return; the role and characteristics of international financial markets and institutions; the pricing of various financial products and how they can be used for hedging. It builds econometric models based on financial variables and how these are utilised in managing market, credit and operational risks. Students are also introduced to advanced techniques in financial markets and risk management practices. |
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:
Late submissions of assessments
Unless a Special Consideration request has been submitted and approved, no extensions will be granted. There will be a deduction of 10% of the total available assessment-task marks made from the total awarded mark for each 24-hour period or part thereof that the submission is late. Late submissions will only be accepted up to 96 hours after the due date and time.
No late submissions will be accepted for timed assessments – e.g., quizzes, online tests.
Table 1: Penalty calculation based on submission time
Submission time after the due date (including weekends) |
Penalty (% of available assessment task mark) |
Example: for a non-timed assessment task marked out of 30 |
< 24 hours |
10% |
10% x 30 marks = 3-mark deduction |
24-48 hours |
20% |
20% x 30 marks = 6-mark deduction |
48-72 hours |
30% |
30% x 30 marks = 9-mark deduction |
72-96 hours |
40% |
40% x 30 marks = 12-mark deduction |
> 96 hours |
100% |
Assignment won't be accepted |
Other assessment criteria for assessment tasks will be provided on the unit iLearn site.
Name | Weighting | Hurdle | Due |
---|---|---|---|
Online Quiz | 0% | No | Week 4 |
Mid Session Test | 20% | No | Week 8 |
Assignment | 20% | No | Week 10 |
Final Examination | 60% | No | University Examination Period |
Assessment Type 1: Quiz/Test
Indicative Time on Task 2: 1 hours
Due: Week 4
Weighting: 0%
The online quiz will consist of 5 to 10 questions and will be available on iLearn. Please use the quiz result as an indicator of whether you are progressing satisfactorily in the unit.
Assessment Type 1: Quiz/Test
Indicative Time on Task 2: 10 hours
Due: Week 8
Weighting: 20%
The mid session test of 90 minutes will be held to give students practice on a summative task and to provide feedback on their progress midway through the session.
Assessment Type 1: Quantitative analysis task
Indicative Time on Task 2: 20 hours
Due: Week 10
Weighting: 20%
The assignment will cover quantitative analysis of a financial scenario or problem.
Assessment Type 1: Examination
Indicative Time on Task 2: 20 hours
Due: University Examination Period
Weighting: 60%
A final exam of two hours will be held during the University Examination Period.
1 If you need help with your assignment, please contact:
2 Indicative time-on-task is an estimate of the time required for completion of the assessment task and is subject to individual variation
Learning and Teaching Activities: |
The content for each week will comprise of a lecture and a set of tutorial questions (Problem Sets). Lectures A lecture will be held each week. Lecture notes will be available on iLearn. Please refer to iLearn announcement for class delivery mode. Tutorials Students will need to register for a tutorial. Tutorials are considered compulsory but no marks are allocated. Tutorials will be available for most, but not all weeks of the session. In weeks where there aren't any live (on-campus or online) tutorials, a recording will be provided to cover the relevant material. The tutorial schedule will be made available on iLearn. Tutorial enrolment or change of tutorial can be made through eStudent in the first two weeks of the session. No tutorial changes are allowed after Week 2. Students should attend their allocated tutorial, but exceptions may occur on a one-off basis. That is, where circumstances prevent you from attending your own tutorial in a given week, you may attend an alternative tutorial if room available. Students are expected to complete the ‘Tutorial Questions’ as a self-directed study activity before attending a tutorial. Additional learning support will be available in tutor consultation times. See timetable for classes on the University web site at: https://timetables.mq.edu.au/2022/ |
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Required Text: | Hull, J. (2018) Risk management and Financial Institutions, 5th Edition, Wiley |
Technology Used and Required: |
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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 Historical 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 | Mid Session Test | |
9 | 20, 21 | CVA, DVA and Credit VaR |
10 | 22, 23 | Scenario Analysis, Stress Testing and Operational Risk |
11 | 24, 25 | Liquidity and Model Risk |
12 | 26-29 | Economic Capital, Enterprise Risk Management, Financial Innovation and Risk Management Mistakes to Avoid |
13 | Revision |
Macquarie University policies and procedures are accessible from Policy Central (https://policies.mq.edu.au). Students should be aware of the following policies in particular with regard to Learning and Teaching:
Students seeking more policy resources can visit Student Policies (https://students.mq.edu.au/support/study/policies). It is your one-stop-shop for the key policies you need to know about throughout your undergraduate student journey.
To find other policies relating to Teaching and Learning, visit Policy Central (https://policies.mq.edu.au) and use the search tool.
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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
At Macquarie, we believe academic integrity – honesty, respect, trust, responsibility, fairness and courage – is at the core of learning, teaching and research. We recognise that meeting the expectations required to complete your assessments can be challenging. So, we offer you a range of resources and services to help you reach your potential, including free online writing and maths support, academic skills development and wellbeing consultations.
Macquarie University provides a range of support services for students. For details, visit http://students.mq.edu.au/support/
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Macquarie University offers a range of Student Support Services including:
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Unit information based on version 2022.02 of the Handbook