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IB359 - Derivatives and Risk Management

  • Module code: IB359
  • Module name: Derivatives and Risk Management
  • Department: Warwick Business School
  • Credit: 12, 15

Content and teaching | Assessment | Availability

Module content and teaching

Principal aims

The module aims to extend your knowledge and understanding of the quantitative theory of financial risk, and how that risk can be managed by means of hedging; to develop your critical reasoning skills in the context of financial derivatives and financial risk management; and to equip you with the practical skills which you will need to apply financial derivatives to hedging and risk management.

Principal learning outcomes

By the end of this module you should be able to: describe the key characteristics of vanilla and exotic derivative products; explain the use of these products as risk management tools; discuss the means used to hedge the exposure that such products create for the banks that issue them; price vanilla and exotic derivative products using simple lattice methods and simulation techniques; design hedging and risk management strategies for corporate consumers of derivative products and banks that supply derivative products; assess risk profiles arising from the use of derivatives and associated hedging activity; communicate effectively the results of risk analysis to non-quantitative people; interpret quantitative data from the viewpoint of risk and uncertainty; apply statistical tools to both time-series and cross-sectional data to derive meaningful risk management metrics; understand the implications of hedging via risk-neutral replication; construct hedge portfolios, with both unconstrained and restricted choices of hedging instrument; price and hedge a range of non-vanilla products using simple lattice methods and simulation techniques.

Timetabled teaching activities

1 x 2 hour lecture per week, 1 x 1 hour seminar per week

Departmental link

http://www.wbs.ac.uk/students/undergraduate/

Module assessment

Assessment group Assessment name Percentage
12 CATS (Module code: IB359-12)
D (Assessed/examined work) Term Test 10%
  Group Project 15%
  1.5 hour examination (Summer) 75%
D1 (Assessed/examined work) Term Test (non WBS students) 8%
  Group Project (non WBS students) 12%
  1000 word essay (non WBS students) 20%
  1.5 hour examination (Summer) (non WBS students) 60%
V1 (Visiting students only) Term Test (visiting/exchange students) 10%
  Group Project (visiting/exchange students) 15%
  3000 word essay (visiting/exchange students) 75%
VA (Visiting students only) 100% assessed for visiting/exchange students 100%
15 CATS (Module code: IB359-15)
D (Assessed/examined work) Term Test 10%
  Group Project 15%
  1.5 hour examination (Summer) 75%
D1 (Assessed/examined work) Term Test (non WBS students) 8%
  Group Project (non WBS students) 12%
  1000 word essay (non WBS students) 20%
  1.5 hour examination (Summer) (non WBS students) 60%
V1 (Visiting students only) Term Test (visiting/exchange students) 10%
  Group Project (visiting/exchange students) 15%
  3000 word essay (visiting/exchange students) 75%
VA (Visiting students only) 100% assessed for visiting/exchange students 100%

Module availability

This module is available on the following courses:

Core

N/A

Optional Core

N/A

Optional
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G300) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G300) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30A) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30A) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30A) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30B) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30B) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30B) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30C) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30C) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30C) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30D) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30D) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30D) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30F) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30F) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30F) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30G) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30G) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30G) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30H) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30H) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30H) - Year 5
  • Undergraduate Mathematics and Economics (GL11) - Year 3
  • Undergraduate Mathematics and Economics (with Intercalated Year) (GL12) - Year 4
  • Undergraduate Computer and Business Studies (GN51) - Year 3
  • Undergraduate Computer and Business Studies (with Intercalated Year) (GN5A) - Year 4
  • Undergraduate Economics 3 Year Variants (L100) - Year 3
  • Undergraduate Economics 4 Year Variants (L103) - Year 4
  • Undergraduate Economics 4 Year Variants (L114) - Year 4
  • Undergraduate Economics 3 Year Variants (L116) - Year 3
  • Undergraduate Economics 4 Year Variants (L117) - Year 4
  • Undergraduate Economics, Politics and International Studies (LM1D) - Year 3
  • Undergraduate Law and Business Studies (MN31) - Year 3
  • Undergraduate Law and Business Studies (MN32) - Year 3
  • Undergraduate Law and Business Studies (MN32) - Year 4
  • Law and Business Four Year (Qualifying Degree) (MN34) - Year 3
  • Law and Business Four Year (Qualifying Degree) (MN34) - Year 4
  • Undergraduate Law and Business Studies with Intercalated Year (3+1) (MN35) - Year 3
  • Undergraduate Law and Business Studies with Intercalated Year (3+1) (MN35) - Year 4
  • Undergraduate Law and Business Studies with Intercalated Year (4+1) (MN36) - Year 4
  • Undergraduate Law and Business Studies with Intercalated Year (4+1) (MN36) - Year 5
  • Undergraduate Law and Business Studies (Qualifying Degree) with Intercalated Year (MN37) - Year 4
  • Undergraduate Law and Business Studies (Qualifying Degree) with Intercalated Year (MN37) - Year 5
  • Undergraduate International Business (N140) - Year 4
  • Undergraduate International Business with French (N1R1) - Year 4
  • Undergraduate International Business with German (N1R2) - Year 4
  • Undergraduate International Business with Italian (N1R3) - Year 4
  • Undergraduate International Business with Spanish (N1R4) - Year 4
  • BSc in Management (N201) - Year 3
  • BSc in Management (with Intercalated Year/UPP) (N202) - Year 4
  • BSc in International Management (N203) - Year 4
  • BSc in Management (with Intercalated Year/UPP) (N210) - Year 4
  • Undergraduate Information Systems Management and Innovation (N211) - Year 3
  • Undergraduate Information Systems Management and Innovation (with Intercalated Year) (N214) - Year 4
  • BSc in Management (N230) - Year 3
  • BSc in Management (with Intercalated Year/UPP) (N231) - Year 4
  • BSc in Management (N250) - Year 3
  • BSc in Management (with Intercalated Year/UPP) (N251) - Year 4
  • Undergraduate Accounting and Finance (NN35) - Year 3
  • Undergraduate Accounting and Finance (with Intercalated Year/Undergraduate Partnership Programme) (NN36) - Year 4
  • Undergraduate Accounting and Finance (with Intercalated Year/Undergraduate Partnership Programme) (NN37) - Year 4
  • Undergraduate Philosophy, Politics and Economics (V7ML) - Year 2
  • Undergraduate Philosophy, Politics and Economics (V7ML) - Year 3
  • Undergraduate Philosophy, Politics and Economics (with Intercalated year) (V7MM) - Year 4
  • Undergraduate Philosophy, Politics and Economics (V7MP) - Year 2
  • Undergraduate Philosophy, Politics and Economics (V7MP) - Year 3
  • Undergraduate Philosophy, Politics and Economics (with Intercalated year) (V7MQ) - Year 4
  • Undergraduate Philosophy, Politics and Economics (V7MR) - Year 2
  • Undergraduate Philosophy, Politics and Economics (V7MR) - Year 3
  • Undergraduate Philosophy, Politics and Economics (V7MR) - Year 4
  • Undergraduate Philosophy, Politics and Economics (with Intercalated year) (V7MS) - Year 4
  • Undergraduate Mathematics,Operational Research,Statistics and Economics (Y602) - Year 3
  • Undergraduate Mathematics,Operational Research,Statistics,Economics (with Intercalated Year) (Y603) - Year 4