Course Catalogue

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The lectures provide a graduate-level analysis of market, credit and interest rates risk and how those risks can be hedged. It introduces students to different methodologies to estimate volatilities and correlations and how these estimates are used to calculate the portfolio's value at risk. Topics are covered from a practical and theoretical aspect using computer labs.

A 2-hour weekly lecture for 10 weeks, five 1-hour computer labs.

Please refer to the current postgraduate prospectus at: http://www.gla.ac.uk/postgraduate/

A one-hour in-course examination (25% of final grade for course) and a two-hour end-of-course examination (75% of final grade for course).

There are 10 teaching weeks comprising weekly sessions of, approximately, two hours lectures and five weeks of one-hour computer workshops. The lectures provide a graduate-level analysis of market, credit and interest rates risk and how those risks can be hedged. The course introduces students to different methodologies to estimate volatilities and correlations and how these estimates are used to calculate the portfolio's value at risk. . Topics will be covered from a practical and theoretical aspect using computer labs.

By the end of this course, students

should be able to:

■ understand the role of volatilities and correlations in financial risk management.

■ understand how market, interest rates and credit risk are measured and the limitations of the different methodologies currently used in practice.

■ understand how operational and model risks are quantified and managed.

■ appreciate the roles of ABSs and CDOs in current subprime crisis.

Students must submit at least 75% by weight of the components (including examinations) of the course's summative assessment.