Overview

This unit enables students to identify and manage financial risk using derivative instruments in a variety of contexts. It also intends to enhance students’ quantitative skills through developing and applying pricing and risk management models. Students will develop an advanced understanding of the implications, intuition and critical thinking underlying the application of risk strategies. Students will acquire perspectives in assessing ethical issues when using derivative instruments to enhance returns and manage risk. They will also gain hands on experience on the application of trading strategies using financial technology, to strengthen their understanding of the management of risk and returns in portfolios.

Requisites

Teaching periods
Location
Start and end dates
Last self-enrolment date
Census date
Last withdraw without fail date
Results released date
Semester 1
Location
Hawthorn
Start and end dates
26-February-2024
26-May-2024
Last self-enrolment date
10-March-2024
Census date
31-March-2024
Last withdraw without fail date
12-April-2024
Results released date
02-July-2024
Semester 2
Location
Hawthorn
Start and end dates
29-July-2024
27-October-2024
Last self-enrolment date
11-August-2024
Census date
31-August-2024
Last withdraw without fail date
13-September-2024
Results released date
03-December-2024

Learning outcomes

Students who successfully complete this unit will be able to:

  • Critically analyse the sources of financial risk, the importance of implementing effective hedging strategies and evaluating the outcome of these strategies, in multiple contexts.
  • Apply a coherent understanding of different types of derivatives and the principles that underlie pricing models.
  • Analyse the importance of ethical decision making in risk management.
  • Utilise financial technology to apply trading strategies that reflect real-world understanding of the workings of derivatives.
  • Apply research principles and techniques to plan and execute a group project

Teaching methods

Hawthorn

Type Hours per week Number of weeks Total (number of hours)
On-campus
Class
2.00 12 weeks 24
Online
Lecture
1.00 12 weeks 12
Unspecified Activities
Independent Learning
9.50 12 weeks 114
TOTAL150

Assessment

Type Task Weighting ULO's
AssessmentIndividual 30 - 50% 1,2,3 
Online QuizzesIndividual 10 - 20% 1,2,3 
Research ProjectGroup 40 - 50% 1,2,3,4,5 

Content

  • Introduction to financial risk management
  • Futures, Forwards and Options– types, payoffs and hedging strategies – on interest rates, currency, commodities, equity and equity indices
  • Swaps – Interest rate and Currency – Hedging strategies
  • Credit derivatives and Structured Credit Products
  • Pricing of Futures, Forwards, Options, Swaps and Credit Derivatives
  • Black-Scholes Merton Options Pricing model and Binomial Option Valuation Model
  • Value at Risk (VaR)
  • Use of derivatives in portfolio management
  • Ethics in Risk Management

Study resources

Reading materials

A list of reading materials and/or required textbooks will be available in the Unit Outline on Canvas.