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Dr Yves Nosbusch

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

Global MSc in Management ('Accounting and Finance' and 'Finance' concentrations only)

This course is available with permission on the Diploma in Accounting and Finance with the approval of the Programme Director.

This course is available to other students from the Departments of Economics, Mathematics, and Statistics where regulations permit.

This course is not capped, any eligible student that requests a place will be given one.

This course does not permit auditing students.

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

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

30 hours of lectures in the AT.

This course is taught in the interactive lecturing format. There is no distinction between lectures and classes/seminars; there are “sessions” only, and the pedagogical approach in each session is interactive.

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

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, 2023; J Hull, Options, Futures and Other Derivatives, Prentice-Hall, 2021 and D Duffie and K Singleton, Credit Risk, Princeton University Press, 2003.

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