CORPFIN 3504 - Treasury and Financial Risk Management III
North Terrace Campus - Semester 2 - 2018
General Course Information
Course Code CORPFIN 3504 Course Treasury and Financial Risk Management III Coordinating Unit Business School Term Semester 2 Level Undergraduate Location/s North Terrace Campus Units 3 Contact Up to 3 hours per week Available for Study Abroad and Exchange Y Prerequisites CORPFIN 2502 Corequisites CORPFIN 3502 Course Description The course examines the process and instruments used in treasury management and their application in managing risk. Issues will be examined from both a financial institution and non-financial institution perspective. The course begins with a general framework for how financial risk management contributes to firm value. The course then covers the measurement and management of market risks, credit risks, liquidity risks and operational risks with various approaches: value-at-risk, expected shortfall, default probabilities. Evolution of bank regulation prior- and post-crisis is discussed. The next part of the course examines the practice of integrated risk management to aggregate risks across enterprises and to use measures of firm-wide aggregated risk for various corporate decisions.
Course Coordinator: Dr Thu Phuong Pham
The full timetable of all activities for this course can be accessed from Course Planner.
Course Learning OutcomesOn successful completion of this course, students will be able to:
1. Appraise the advantages and disadvantages of risk management techniques and models in a financial and non-financial setting
2. Apply financial risk management to create firm value
3. Measure and manage risks using different models
4. Implement integrated risk management across firms and financial institutions
University Graduate Attributes
This course will provide students with an opportunity to develop the Graduate Attribute(s) specified below:
University Graduate Attribute Course Learning Outcome(s) Deep discipline knowledge
- informed and infused by cutting edge research, scaffolded throughout their program of studies
- acquired from personal interaction with research active educators, from year 1
- accredited or validated against national or international standards (for relevant programs)
1, 2, 3 and 4 Critical thinking and problem solving
- steeped in research methods and rigor
- based on empirical evidence and the scientific approach to knowledge development
- demonstrated through appropriate and relevant assessment
1, 2, 3 and 4 Teamwork and communication skills
- developed from, with, and via the SGDE
- honed through assessment and practice throughout the program of studies
- encouraged and valued in all aspects of learning
1, 2, 3 and 4 Career and leadership readiness
- technology savvy
- professional and, where relevant, fully accredited
- forward thinking and well informed
- tested and validated by work based experiences
1, 2, 3 and 4 Intercultural and ethical competency
- adept at operating in other cultures
- comfortable with different nationalities and social contexts
- Able to determine and contribute to desirable social outcomes
- demonstrated by study abroad or with an understanding of indigenous knowledges
1, 2, 3 and 4 Self-awareness and emotional intelligence
- a capacity for self-reflection and a willingness to engage in self-appraisal
- open to objective and constructive feedback from supervisors and peers
- able to negotiate difficult social situations, defuse conflict and engage positively in purposeful debate
1, 2, 3 and 4
Required ResourcesThe core material that will be covered within the course is available on MyUni. However, it is also a requirement that you obtain a copy of the following text and that you supplement your studies of the core material with the text:
Risk Management and Financial Institutions, 5th Edition
Hardcover ISBN : 9781119448112
Students will be able to purchase the E-text from this link Wiley - Hull - Risk Management 5e
Recommended Resources1) Financial Risk Manager Handbook + Test Bank [electronic resource]: FRM(r) Part I/Part II, Wiley, 2010, ISBN: 1-283-20378-2
2) Stulz, René M. Risk Management and Derivatives, 1st Edition. Cengage Learning. 2003. ISBN-13: 9780538861014 / ISBN-10: 0538861010
3) Crouhy, Michel; Dan Galai and Robert Mark. The Essentials of Risk Management, 2nd Edition. McGrawHill 2014.
4) Crouhy, Michel; Dan Galai and Robert Mark. Risk Management, 1st Edition. McGrawHill 2000.
5) Brealey, Richard; Stewart Myers, Franklin Allen. Principles of Corporate Finance. 11th Edition, McGrawHill 2013
6) John C. Hull. Options, Futures and Other Derivatives, 9th Edition, Pearson 2015.
7) Journal of Applied Corporate Finance, Various issues.
8) High quality finance journals covering risk management.
Learning & Teaching Activities
Learning & Teaching ModesLectures
Lectures are held on weekly basis, beginning in week 1.
Lectures will cover the core examinable material in the course. Lecture slides are available on MyUni prior to each lecture. These on their own are not an adequate substitute for attending lectures and taking your own lecture notes. It is recommended that you take a copy of the lecture slides with you to class and use these as a basis for your own note-taking. Developing lecture notes is your own responsibility in this course. If you miss a lecture ask a friend or acquaintance for notes.
There is an expectation that students will engage in additional readings, as well as the required text to gain a full appreciation of all aspects of the course.
Students are required to attend weekly tutorial sessions, commencing in the second week of the semester, as full solutions and discussions on tutorials material may not be available on MyUni. Students who have a valid reason for non-attendance should contact the lecturer/tutor for tutorial feedback. Weekly tutorial exercises are provided primarily to improve your understanding of the course’s material, via stimulating your interest in this course.
A sound understanding (beyond superficial learning) and interest in the subject matter will be beneficial to end of semester exams and beyond. Students who attend the tutorials are expected to mark and critique their own work in the tutorials, by bringing a photocopy/printed copy of their work. Students are also urged to make a second copy of tutorial exercises for backup in the event of lost assessments. To benefit most from these tutorials, you should come well prepared and should already have attempted the tutorial questions.
The information below is provided as a guide to assist students in engaging appropriately with the course requirements.The University anticipates full-time students (i.e. those taking 12 units per semester) to devote a total of 48 hours per week to their studies. This means that you are likely to need to commit approximately 9 hours for a three-unit course or 13 hours for a four-unit course, of private study outside of your regular attendance in classes.
Students in this course are expected to attend all classes.
Learning Activities Summary
Topic 1- Introduction; risk vs. return
Topic 2- Volatility
Topic 3- Value-at-Risk (VAR) and expected shortfall
Topic 4- Market risk: Historical Simulation, Extreme Value Theory
Topic 5- Basel I, Basel II, Basel III and Post-Crisis changes
Topic 6- Credit Risk: Estimating Default Probabilities
Topic 7- Liquidity Risk
Topic 8- Operational Risk
Topic 9- Practice of integrated risk management I: Economic Capital
Topic 10- Practice of integrated risk management II: Enterprise Risk Management
The University's policy on Assessment for Coursework Programs is based on the following four principles:
- Assessment must encourage and reinforce learning.
- Assessment must enable robust and fair judgements about student performance.
- Assessment practices must be fair and equitable to students and give them the opportunity to demonstrate what they have learned.
- Assessment must maintain academic standards.
Assessment Weighting Related Learning Outcome Online Test 1 10% 1 to 4 Online Test 2 15% 1 to 4 Online Test 3 15% 1 to 4
Final exam (3 hours, closed book)
60% 1 to 4
Assessment Related RequirementsThe following additional conditions apply:
- To gain a pass in this course, a mark of at least 45% must be obtained in the final examination as well as a total of at least 50% overall. Students who fail to achieve the minimum examination mark will be awarded no more than 49%.
- Legible handwriting and the quality of English expression are considered to be integral parts of the assessment process. You may lose marks in the examination due to poor handwriting.
- Students in this course are not permitted to take a dictionary (English or English-Foreign) into the examination.
- The use of a non-programmable calculator is permitted in this course.
Assessment DetailOnline tests
Online Test 1: Multiple choice questions, and/or analytical problems based on all materials covered in lectures and tutorials from Week 1 to Week 3 inclusive.
Online Test 2: Multiple choice questions, and/or analytical problems based on all materials covered in lectures and tutorials from Week 3 to Week 6 inclusive.
Online Test 3: Multiple choice questions, and/or analytical problems based on all materials covered in lectures and tutorials from Week 7 to Week 11 inclusive.
3. Final examination
Will be a 3 hour closed book exam and will be held during the examination period.
SubmissionNotes on Assessment
- All set work including assignments and class test must be provided by the due date and must be genuine attempts, to complete the course.
- Legible hand-writing (for in class test and exam) and the quality of English expression are considered to be integral parts of the assessment process. You may not gain marks because of poor hand-writing, poor presentation and/or poor grammar. Presentation and grammar are of high importance for the assignment.
- Assessment marks prior to the final exam will be displayed on MyUni. Students are encouraged to check their marks and notify the lecturer-in-charge of any discrepancies.
- Any assignment submitted after the advised due date will incur a penalty of 10% of the total available mark per calendar day.
- Retain a copy of all assignments submitted.
- All group assignments, if submitted via MyUni, will be deemed to comply with the University's policy on academic conduct through the act of submission.
- All group assignments, if submitted manually, must be attached to a ‘Group Assignment Cover Sheet’, which must be signed and dated by all group members before submission. All team members are expected to contribute approximately equally to a group assignment.
A copy of the Communication Skills Guide will have been given to you at the beginning of your program. This guide will assist you structure your assignments. The publication also provides guidelines on a range of other important communication skills including writing essays and management reports, making oral presentations etc. In preparing any written piece of assessment for your postgraduate studies it is important to draw on the relevant ‘literature’ to support critical analysis. Also essential is to reference the literature used. Correct referencing is important because it identifies the source of the ideas and arguments that you present, and sometimes the source of the actual words you use, and helps to avoid the problem of plagiarism. (Further information on plagiarism is provided later in this course outline.)
The Harvard system is the preferred style of referencing for this course. Guidelines for the use of this style of referencing can be found in the Communication Skills Guide. Further assistance with referencing is available from the Faculty’s Learning Support Advisors. The contact details are provided in the Communication Skills Guide.
Late Assignment Submission
Students are expected to submit their work by the due date to maintain a fair and equitable system. Extensions will generally only be given for medical or other serious reasons. Other assignments or too much work are considered not to be valid reasons. All requests for extensions must be emailed to the lecturer in charge of the course before the due date. Each request will be assessed on its merits.
Return of Assignments
Every attempt is made to return assignments to students within two (2) weeks of the due date. Written feedback will be provided for each assignment. Students are responsible for collecting their marked assignments from the professions hub.
Grades for your performance in this course will be awarded in accordance with the following scheme:
M10 (Coursework Mark Scheme) Grade Mark Description FNS Fail No Submission F 1-49 Fail P 50-64 Pass C 65-74 Credit D 75-84 Distinction HD 85-100 High Distinction CN Continuing NFE No Formal Examination RP Result Pending
Further details of the grades/results can be obtained from Examinations.
Grade Descriptors are available which provide a general guide to the standard of work that is expected at each grade level. More information at Assessment for Coursework Programs.
Final results for this course will be made available through Access Adelaide.
The University places a high priority on approaches to learning and teaching that enhance the student experience. Feedback is sought from students in a variety of ways including on-going engagement with staff, the use of online discussion boards and the use of Student Experience of Learning and Teaching (SELT) surveys as well as GOS surveys and Program reviews.
SELTs are an important source of information to inform individual teaching practice, decisions about teaching duties, and course and program curriculum design. They enable the University to assess how effectively its learning environments and teaching practices facilitate student engagement and learning outcomes. Under the current SELT Policy (http://www.adelaide.edu.au/policies/101/) course SELTs are mandated and must be conducted at the conclusion of each term/semester/trimester for every course offering. Feedback on issues raised through course SELT surveys is made available to enrolled students through various resources (e.g. MyUni). In addition aggregated course SELT data is available.
- Academic Support with Maths
- Academic Support with writing and speaking skills
- Student Life Counselling Support - Personal counselling for issues affecting study
- International Student Support
- AUU Student Care - Advocacy, confidential counselling, welfare support and advice
- Students with a Disability - Alternative academic arrangements
- Reasonable Adjustments to Teaching & Assessment for Students with a Disability Policy
Policies & Guidelines
This section contains links to relevant assessment-related policies and guidelines - all university policies.
- Academic Credit Arrangement Policy
- Academic Honesty Policy
- Academic Progress by Coursework Students Policy
- Assessment for Coursework Programs
- Copyright Compliance Policy
- Coursework Academic Programs Policy
- Elder Conservatorium of Music Noise Management Plan
- Intellectual Property Policy
- IT Acceptable Use and Security Policy
- Modified Arrangements for Coursework Assessment
- Student Experience of Learning and Teaching Policy
- Student Grievance Resolution Process
Students are reminded that in order to maintain the academic integrity of all programs and courses, the university has a zero-tolerance approach to students offering money or significant value goods or services to any staff member who is involved in their teaching or assessment. Students offering lecturers or tutors or professional staff anything more than a small token of appreciation is totally unacceptable, in any circumstances. Staff members are obliged to report all such incidents to their supervisor/manager, who will refer them for action under the university's student’s disciplinary procedures.
The University of Adelaide is committed to regular reviews of the courses and programs it offers to students. The University of Adelaide therefore reserves the right to discontinue or vary programs and courses without notice. Please read the important information contained in the disclaimer.