2023/24 Taught Postgraduate Module Catalogue

LUBS5003M Portfolio Risk Management

15 creditsClass Size: 250

Module manager: Muhammad Moshfique Uddin
Email: M.M.Uddin@leeds.ac.uk

Taught: Semester 1 (Sep to Jan) View Timetable

Year running 2023/24

This module is not approved as an Elective

Module summary

The Portfolio Risk Management module provides an in depth understanding on key issues of development, identification and management of portfolio risk, emphasising the numerical skills to understand and apply various portfolio risk management models. The module also emphasises critical evaluation skills to understand the development and applicability of those models that are widely used in academia and also in industry to manage portfolio risk.

Objectives

This module aims to provide students with advanced knowledge of the key issues in portfolio risk and its management and the skills to critically evaluate and apply various models used to analyse portfolio risk to the specialised complex area of practical portfolio management.

Learning outcomes
Upon completion of this module students will be able to critically evaluate:
- the theoretical development of portfolio risk management and industry practices for portfolio risk management process and strategies
- the principles and practice of models used in analysing and managing portfolio risks
- concepts and ideas used in identifying and managing portfolio risk

Skills outcomes
Upon completion of this module students will be able to:
Transferable
- Apply quantitative skills to understand and explain models and techniques
- Deploy accurately written communications and critical thinking skills
- Apply numerical skills to solve the problems relating to portfolio risk identification and management of it

Subject Specific
- Apply current theory and appropriate analytical tools to solve the portfolio risk management problems

Syllabus

Indicative Content
The Opportunity Set Under Risk
Efficient Portfolios and the Efficient Frontier
The Single-Index Model of Security Returns
Multi-Index Models and Grouping Techniques
Utility Analysis for Portfolio Selection
International Diversification
The Capital Asset Pricing Model
The Arbitrage Pricing Model APT
Evaluation of Portfolio Performance and Security Analysis
Fixed Income Portfolio Management
Portfolio Insurance Techniques

Teaching methods

Delivery type	Number	Length hours	Student hours
Lecture	11	2.00	22.00
Seminar	6	1.00	6.00
Private study hours			122.00
Total Contact hours			28.00
Total hours (100hr per 10 credits)			150.00

Private study

This could include a variety of activities, such as reading, watching videos, question practice and exam preparation.

Opportunities for Formative Feedback

Your teaching methods could include a variety of delivery models, such as face-to-face teaching, live webinars, discussion boards and other interactive activities. There will be opportunities for formative feedback throughout the module.

Methods of assessment

Exams

Exam type	Exam duration	% of formal assessment
Standard exam (closed essays, MCQs etc)	2 hr	100.00
Total percentage (Assessment Exams)		100.00

The resit for this module will be 100% by 2 hours examination.

Reading list

The reading list is available from the Library website

Last updated: 28/04/2023 14:49:16

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