FM402      Half Unit
Financial Risk Analysis

This information is for the 2017/18 session.

Teacher responsible

Dr Yves Nosbusch


This course is available on the Global MSc in Management, Global MSc in Management (CEMS MIM), Global MSc in Management (MBA Exchange), MSc in Accounting and Finance, MSc in Applicable Mathematics, MSc in Financial Mathematics, MSc in Risk and Finance, MSc in Statistics (Financial Statistics) and MSc in Statistics (Financial Statistics) (Research). This course is not available as an outside option.


The course assumes a basic knowledge of finance theory, statistics and mathematics (calculus, linear algebra).

Course content

This course aims to provide an overview of the main theoretical concepts underlying the analysis of financial risk and to show how these concepts can be implemented in practice in a variety of contexts. This course shares some topics with FM442 Quantitative Methods in Finance and Risk Analysis. The course will include a selection of:

  1. Conceptual foundations: diversification, hedging and their limits 
  2. Fixed income securities
  3. Options and dynamic replication
  4. Value at Risk
  5. Endogenous risk
  6. Ideas from Behavioural Finance
  7. Credit risk (ratings based models, structural models, reduced form models)
  8. Credit derivatives


20 hours of lectures and 10 hours of classes in the MT.

Formative coursework

Students will be expected to produce 8 problem sets in the MT.

Indicative reading

Course readings will vary from year to year depending upon the topics covered. Useful references are M Crouhy, D Galai and R Mark, Risk Management, McGraw-Hill, 2001; P Jorion, Value at Risk, McGraw-Hill, 2007; J Hull, Risk Management and Financial Institutions, Prentice-Hall, 2015; J Hull, Options, Futures and Other Derivatives, Prentice-Hall, 2014 and D Duffie and K Singleton, Credit Risk, Princeton University Press, 2003.


Exam (100%, duration: 2 hours) in the main exam period.

Key facts

Department: Finance

Total students 2016/17: 108

Average class size 2016/17: 13

Controlled access 2016/17: Yes

Value: Half Unit

Guidelines for interpreting course guide information

Personal development skills

  • Problem solving
  • Communication
  • Application of numeracy skills
  • Commercial awareness
  • Specialist skills