2024/2025 KAN-CEADO2002U Derivatives and Risk Management
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Derivatives and Risk Management |
Course information |
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Language | English |
Course ECTS | 7.5 ECTS |
Type | Mandatory (also offered as elective) |
Level | Full Degree Master |
Duration | One Semester |
Start time of the course | Spring |
Timetable | Course schedule will be posted at calendar.cbs.dk |
Max. participants | 50 |
Study board |
Study Board for OECON and ECFI
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Course coordinator | |
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Main academic disciplines | |
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Teaching methods | |
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Last updated on 13-05-2024 |
Relevant links |
Learning objectives | ||||||||||||||||||||||
Students are required to:
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Course prerequisites | ||||||||||||||||||||||
This is a mandatory course for the MSc in
Advanced Economics and Finance. It is assumed that students have
knowledge similar to the entry requirements for the MSc in Advanced
Economics and Finance. For spring courses knowledge similar to the
content of the 1st-semester courses is assumed as well. The courses
have 45 contact hours (lectures and exercises), and there is a high
level of interaction between lecturer and students, and in general
a high work load.
To sign up send a 1-page motivational letter, a 1-page CV, and a grade transcript to ily.stu@cbs.dk before the registration deadline for elective courses. You may find the registration deadlines on my.cbs.dk ( https://studentcbs.sharepoint.com/graduate/pages/registration-for-electives.aspx ). Please also remember to sign up through the online registration. |
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Prerequisites for registering for the exam (activities during the teaching period) | ||||||||||||||||||||||
Number of compulsory
activities which must be approved (see section 13 of the Programme
Regulations): 1
Compulsory home
assignments
The students must hand in 1 home assignment during the course and must pass it on an approved/not approved basis before the final exam. The home assignment is made in groups of 2-4 students. If a student - due to documented illness or failed attempts - does not pass the assignment, the student will be given a final chance to retake this part of the course by handing in a new assignment prior to the final exam. |
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Examination | ||||||||||||||||||||||
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Course content, structure and pedagogical approach | ||||||||||||||||||||||
The purpose of this course is to give students a thorough understanding of derivatives, models for pricing derivatives, and to understand their role in financial risk management. We cover the Black-Scholes-Merton option pricing model and some alternatives. We give an overview of fixed income securities and discuss bond pricing, the term structure of interest rates and term structure derivatives, including prepayment options in mortgage-backed securities. Credit risk and credit derivatives are also covered, as is Value-at-Risk (VaR) and related risk measures. The course will present numerical techniques frequently applied in derivatives pricing problems. The course is a fundamental quantitative finance course with wide applications in advanced financial institutions. It builds heavily on the first semester course in Asset Pricing Theory and to some extent on Corporate Finance. |
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Description of the teaching methods | ||||||||||||||||||||||
The format of the course is based on the
following elements:
• Class lectures devoted to the fundamental theoretical issues • Class exercises • One written assignment made in groups. |
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Feedback during the teaching period | ||||||||||||||||||||||
Students will receive feedback when asking questions and when engaging in discussions during the lectures. The office hours during the teaching period provide a further opportunity for asking more in-depth questions and getting feedback. Feedback will also be provided for the mandatory home assignment. | ||||||||||||||||||||||
Student workload | ||||||||||||||||||||||
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Expected literature | ||||||||||||||||||||||
Indicative: John C. Hull, “Options, Futures, and Other
Derivatives”, 11th global ed., Pearson, 2022. (Hull) (main
textbook for the course).
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