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Postgraduate Handbook

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Risk and Capital Management - ACTL5302
 Students on quad lawn

   
 
School:  Actuarial Studies Unit
 
   
 
Campus: Kensington Campus
 
 
Career: Postgraduate
 
 
Units of Credit: 6
 
 
EFTSL: 0.12500 (more info)
 
 
Indicative Contact Hours per Week: 3
 
 
Equivalent: MFIN6402
 
 
Fee Band: 3 (more info)
 
 
Further Information: See Class Timetable
 
  

Description

This course covers the integrated risk management approach to balance sheet and capital management for market, credit and operational risk. Pricing theory, risk based capital and capital management are considered in a common framework based on theories of capital structure and integrated risk management. Risk measures for setting capital requirements for market, credit and operations risk such as VaR, TailVar are reviewed and critiqued. Approaches to economic capital and optimal risk and capital management strategies are developed. Topics include: Risk based capital and capital structure theory; risk and capital management products; insurance pricing theory; role of capital in pricing and the frictional cost approach to risk and capital management.

Enrolment requires school approval.

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© The University of New South Wales (CRICOS Provider No.: 00098G), 2004-2011. The information contained in this Handbook is indicative only. While every effort is made to keep this information up-to-date, the University reserves the right to discontinue or vary arrangements, programs and courses at any time without notice and at its discretion. While the University will try to avoid or minimise any inconvenience, changes may also be made to programs, courses and staff after enrolment. The University may also set limits on the number of students in a course.