Financial Risk Management

Course Code :2104TEWFIN
Study domain:Finance
Academic year:2018-2019
Semester:2nd semester
Contact hours:45
Study load (hours):168
Contract restrictions: No contract restriction
Language of instruction:English
Exam period:exam in the 2nd semester
Lecturer(s)Bert Smits

3. Course contents *

This course introduces students to the key elements of financial risk management. It examines a broad range of derivative products and demonstrates how they can be used.


The course first introduces the mechanics of exchange-traded futures markets, hedging strategies using futures and the determination of forward and futures prices. We examine how swaps are designed, used and valued. The mechanics of options markets, the properties of stock options and trading strategies involving options are also discussed.

An important aspect of this course is its focus on the valuation of options:

  • numerical trees for valuing options using both no-arbitrage arguments and risk-neutral valuation
  • the Black-Scholes-Merton option pricing model for valuing European call and put options
  • option sensitivities (Greeks) and their applicability in hedging strategies

Once options have been covered, the course proceeds by discussing various methods for calculating the value at risk (VaR) in a portfolio of financial assets.