Module Name |
Module Code |
Lecture Hrs |
Practical Hrs |
Credits |
| Derivatives and Risk Management |
DFA3095Y(5) |
3 |
0 |
6 |
|
| Description |
| The Risk Management Process, Taxonomy of Risk, Credit Risk Management and securatised instruments,
Liquidity risk management, Interest Rate risk management , Solvency risk and Capital Adequacy, Risk
related to the Markets: Price Risks and FOREX risks, Derivatives: Definition and types, Forward Contract:
Standard forward contracts, FRAs, forward options, forward swaps, payoff profiles, Pricing of forwards,
Futures Contracts: Difference between futures and forwards, Dealers and Auction markets, Margins
Requirements and Marking to Markets, Option contracts: Call and Put options, Payoff profiles, Option
pricing models (binomial and Black Scholes), combination of options, Swaps : Interest and Currency Swaps,
Risks in Swaps. Basel Accords (1,2,3); syndicated lending; securitisation techniques. |
| Faculty |
Department |
| FACULTY OF LAW AND MANAGEMENT |
Department of Finance and Accounting |
| Contact Details |
Administrative assistant: TASLIMA BOODHUN-JHUMKA
Telephone: 4037400
Email: t.boodhun@uom.ac.mu |
|
