ETM3860 · Economic modelling 2

Overview

In this unit, you will be exposed to the extension of the economic theories crucial for risk management within financial services firms. Building on foundational knowledge from prerequisite courses, this unit specifically focuses on liability valuation and option theory. Designed as a progression from preceding units, this unit will equip you with advanced tools for navigating the complexities of financial risks. The curriculum places a strong emphasis on practical applications, offering insights into the principles of ruin theory for comprehensive liability valuations. Additionally, you will delve into credit risk models, the term structure of interest rates within asset pricing frameworks, and the application of option and valuation theory for derivatives, and options pricing. By combining theoretical depth with practical relevance, this unit aims to prepare you for the intricate challenges of risk management in the financial services sector. Upon unit completion, you will have acquired a comprehensive and thorough understanding of the economic theories and advanced techniques on ruin theory for liability valuations, credit risk models, and options and valuation theory for derivatives, which serves as a crucial component in the development of analytical skills and strategic decision-making for risk management in financial services and actuarial analytics fields, and provides sufficient expertise for use in various later units and the actuarial professional examinations.

Offerings

The Handbook publishes no offerings for this unit.

Assessment

The Handbook lists an examination for this unit.

Assessment details may change. Please refer to the assessment information in Moodle closer to the start of the teaching period.

Requisites

Learning outcomes

1. apply the principles of ruin theory for liability valuations
2. apply the principles of credit risk models and principles of the term structure of interest rates within asset pricing frameworks
3. apply the principles of option and valuation theory for derivatives and option pricing.

Workload

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. You are expected to complete all pre-class activities prior to your scheduled class, and post-class activities should be completed after your scheduled class. Learning activities may include a combination of teacher directed, peer directed and online engagement activities.

Student experience, not official rules. Nothing here changes what the Handbook says.