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FIN4015S

Portfolio & Risk Management

2022

PART 1:  INTRODUCTION

This Study Guide is designed to provide you with details of this module; the learning outcomes; plus delivery and assessment arrangements. The Study Guide consists of 6 parts.

Part 1 gives background details to the subject area are provided and the broad aims of the module are set out.

Part 2 consists of the module outline. In this part the (a) module learning outcomes, (b) the themes and topics to be explored are explained along with the (c) learning supports to be used.

Part 3 gives details of the module delivery arrangements. It sets out the session arrangements and the expectations in relation to your prior preparation and student engagement.

Part 4 provides details of the assessment techniques used in this module explaining the assessment components, their rationale.

Part 5 explains the UCD grading policy and grade descriptors, drawing on the university documentation, are given for each assessment component (i) Assignment and (ii) Examination (closed book).

Part 6 presents the concluding comments.

Accessing Zoom via Brightspace Collaborate

This module will be wholly delivered via UCD’s integrated Zoom classroom.

For MSc33 students, please log into Brightspace, go to “FIN4015S-Portfolio & Risk Management-2021/22 Autumn”, click “My Class”, “Zoom”.

For MSc34 students, please access the zoom class by log into Brightspace, go to “FIN4015S-Portfolio & Risk Management-2021/22 Summer”, click “My Learning”, then click on the zoom link.

Please always login using your UCD email address and your name. Your name should be visible to the lecturer and other students to facilitate collaboration.

Please join your online session no later than five minutes before the advised time of your session.

Engagement tools on Collaborate

Throughout the online sessions for this module, you will be frequently asked to engage with both your lecturer, and with your fellow students.

The lecturer may send you into breakout groups and you discuss some class content in smaller groups before your findings are discussed with the whole class. You may use the “Share Screen” function (if enabled) to show some summary points of the breakout group discussions.

If you select “Chat”, a chat window will open and you can communicate with the whole class or with your lecturer. If you would like to send a private message to your lecturer, please select your lecturer’s name instead of everyone.

By clicking on “Reactions”, another menu will open. This menu allows you to raise your hand if you have a question or would like to comment. If you see a hand icon in the left upper corner of your screen, your hand is currently raised. You can lower your hand by clicking on this icon a second time. The lecturer can also lower your hand.

When you join a Zoom session, you will be muted, and your camera is turned off. But for better engagement in the class, it is advised to keep your camera turned on. Please only unmute yourself if you would like to speak to avoid background noises. You can change your audio and video setting by clicking the small arrow beside the “Unmute” or “Start Video” icon.

Background Details

a. Background to the Topic

This module will consist of both the theoretical and practical aspects of understanding. It discusses areas like different asset classes in the financial markets, the risk and return of these assets, as well as the management of the risks using derivatives. Illustrations and practical examples will be presented throughout the sessions, allowing the students to gain ‘first-hand’ experience of effective portfolio risk management skills. The students will acquire a good basic introduction to the key issues involved in portfolio risk management in general, and be exposed to various types of financial assets and their risks that can result within such environments. You will also gain an appreciation of some of the solutions that can be employed to reduce, transfer and/or mitigate these risk exposures.

The solutions and techniques of risk management covered in this module are useful and relevant to those students who wish to pursue careers in finance and investments.

b. Module Aims

This module examines financial risk management and portfolio allocation related topics. It provides awareness on the modern tools in managing financial risks and equips the students with risk management techniques through the employment of derivatives. It is assumed that students have an understanding of asset pricing and portfolio theory, allowing this module to concentrate on the financial risk management process and asset allocation.

Some of the topics covered include the scope and importance of portfolio management, fund raising with financial assets and financing alternatives, managing portfolio risk with derivatives and managing the treasury function.

The module draws on student prior learning and work experience and combines insights from banking and finance, international trade, investment theory and financial management. The assessment tasks for this module have been designed with this in mind as detailed later in the study guide.

Module philosophy

The module draws on student prior learning and work experience and combines insights from strategy, international trade and investment theory, human resource management and other areas.

The assessment tasks for this module have been designed with this in mind as detailed later in the study guide.

Programme Goals

Programme Code: FIN4015 (Sg)

Programme Title: Master of Science (MSc) (Singapore)

Portfolio Risk Management

Programme Goals Specify the overall programme goal and insert a one-line description of each goal.		Programme Learning Outcomes Specify the learning outcomes associated with each programme goal. On successful completion of the programme students should be able to:	FIN4015S Portfolio Risk Management Module components
1)	Programme Goal 1: Informed Thinkers: Our graduates will be knowledgeable in their fields, supported by a strong research foundation, thought leadership, and richly varied learning experiences.  (KNOWLEDGE)	Programme Learning Outcome 1a: Demonstrate an advanced conceptual and practical understanding of business.	X (Exam question, Assignment)
2)		Programme Learning Outcome 1b: Demonstrate strong in-depth knowledge and critical thinking skills arising from their knowledge of their chosen Major / Pathway.	X (Exam question, Assignment)
3)		Programme Learning Outcome 1c: Demonstrate management skills and leadership skills during a collaborative team based assessment.
4)	Programme Goal 2: Agility and a Development Mindset: Our graduates will understand and continually work on their capacities, including communication, collaboration, creativity and critical thinking.   They will have encountered transformational learning experiences that help them value the role of professional and personal development in navigating a dynamic and changing world.  They will have the ability to engage with diverse perspectives and diverse settings with agility and an international edge.   (CAPACITY and ATTITUDE)	Programme Learning Outcome 2a Demonstrate strong communication and interpersonal skills as a result of a presentation.
5)		Programme Learning Outcome 2b: Develop collaborative learning and team-work skills by engaging in module-related team activities.
6)		Programme Learning Outcome 2c: Plan and execute a small scale primary research project on a business related topic.	X (Assignment)
7)	Programme Goal 3: Ambition for Action and Contribution: Our graduates will be able to talk about, apply and act upon what they know and have the ambition and courage to collaborate, solve problems and contribute to business and society. (CAPACITY and ATTITUDE)	Programme Learning Outcome 3a:
8)		Programme Learning Outcome 3b: Demonstrate an understanding of how to contribute to business and society in a collaborative and ethical fashion.	X (Assignment)
9)		Programme Learning Outcome 3c: Display the ability to think critically and analytically about business practices and their impact on society.	X (Assignment)
10)	Programme Goal 4: Our graduates will have developed their analytical competence, reflective capacity and critical thinking, enabling them to apply judgement, to act with integrity and to work with others to make sound, socially responsible decisions.  (KNOWLEDGE, CAPACITY and ATTITUDE)	Programme Learning Outcome 4a: Demonstrate the capacity to be reflective regarding their personal actions and module assessment.	X (Exam question, Assignment)
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PART 2:  MODULE OUTLINE

Module Title: Portfolio & Risk Management

Module Code: FIN4015S

No. of ECTS: 7.5

Module Learning Outcomes

On completing this module, students will be expected to be able to:

· Apply portfolio theory and capital asset pricing model in measuring risk and return of a single asset and a portfolio of assets.

· Discuss some key issues involved in portfolio management.

· Identify the main risks and understand the risks faced by companies.

· Discuss the common abnormal return (alpha) on the modern portfolio management.

· Quantify risk using Value-at-Risk (VaR) measure.

· Analyze derivatives and how they are used for hedging and investing.

· Appraise the complexities and issues involving international investments and international diversification.

Module Text: Elton, Gruber, Brown, and Goetzmann, Modern Portfolio Theory and Investment Analysis, 9th Edition, Wiley. (“ELTON”)

Reference: Hull, Options, Futures and Other Derivatives, 9th Edition, Pearson. (“HULL”)

Bodie, Kane, and Markus, Investments, 10th Edition, McGraw-Hill. (“BKM”)

Note: The two references ( “HULL” and “BKM”, or similar titles) are used in Capital Markets and Derivative Securities modules.

Themes and Topics

* denotes required reading.

1. Efficient Frontier Construction

Readings

· * ELTON Chapter 4, 5, 9

· BKM Chapter 6,7 (Background)

2. Capital Asset Pricing Model (Standard and Relaxed Models)

Readings

· * ELTON Chapter 13, 14

· BKM Chapter 9 (Background)

3. Empirical Tests of CAPM

Readings

· * ELTON Chapter 15

4. Arbitrage Pricing Model

Readings

· * ELTON Chapter 16

· BKM Chapter 10 (Background)

5. Efficient Markets and Return Anomalies

Readings

· * ELTON Chapter 17

6. Evaluation of Portfolio Performance

Readings

· * ELTON Chapter 26

· BKM Chapter 24

7. International Diversification and Portfolio Management Revisited

Readings

· *ELTON Chapter 12, 28

8. Market Risk Measurement

Readings

· * HULL Chapter 22, 23

9. Market Risk Management

Readings

· * HULL Chapter 22, 23

10. Credit Risk

Readings

· * HULL Chapter 24

Learning Materials

For this module, please read the assigned chapters in the prescribed text and the additional readings assigned. The reading list is provided in the previous section and also in Table 1. Selected problems will be discussed in class. In summary, the learning materials comprise the following,

· Chapters from prescribed textbook,

· Lecture slides,

· Journal articles (optional), and

· Assigned end-of-chapter problems.

Other useful sources:

Students completing the Investment and Portfolio Management module are expected to participate in session discussions and learning activities and be familiar with recent developments in the business world. To facilitate this, the following source material is useful

o The Economist

o The Wall Street Journal

o The Financial Times

o Business Week

o Fortune

o Yahoo Finance

o The South China Morning Post

o The Straits Times

o Investing.com

o The Straits Times (Business and Finance section)

o http://www.wilmott.com/ - WILMOTT – Serving The Quantitative Finance Community

PART 3: MODULE DELIVERY SCHEDULE

The module delivery relies on students’ ability to engage in prior preparation, to seek confirmation and clarification as appropriate and to be actively engaged during the sessions.

Session Arrangements

Each student is expected to attend and be prepared for all sessions. Table 1 below outlines the structure for the sessions.

Preparation Required in Advance of Sessions / Seminars

Students are expected to have read the relevant book chapter and viewed the recorded lectures in advance of the live lectures.

Please see below the schedule and details of our sessions.

Session Engagement

The module delivery relies on students’ ability to engage in prior preparation, to seek confirmation and clarification as appropriate and to be actively engaged during the sessions. Each student is expected to attend and be prepared for all sessions. An essential part of this preparation is to answer of the assigned problems before coming to class. This will foster discussion and will enhance the learning experience for the student.

During the sessions, students are expected to be able to discuss issues arising from the assigned chapters and readings for the topics.

Session participation is a vital element in the design of this module.  Therefore, all students are expected to engage in class discussion and debate in order to facilitate the formation of their critical judgements.

To support your learning, Power-Point slides will be available which (on certain occasions) may need to be upgraded / modified during or following the sessions depending on the issues raised.