Derivatives and Risk Management

About the course

Emner

Mikroøkonomi Makroøkonomi International økonomi Finansiering

Course content

The purpose of this course is to give students a thorough understanding of derivatives, models for pricing derivatives, and to understand their role in financial risk management. We cover the Black-Scholes-Merton option pricing model and some alternatives. We give an overview of fixed income securities and discuss bond pricing, the term structure of interest rates and term structure derivatives. Credit risk and credit derivatives are also covered, as is Value-at-Risk (VaR) and related risk measures. The course will present numerical techniques frequently applied in derivatives pricing problems. The course is a fundamental quantitative finance course with wide applications in advanced financial institutions. It builds heavily on the first semester course in Asset Pricing Theory and to some extent on Corporate Finance.

See course description in course catalogue

What you will learn

Students are required to:

Be able to analyze, price, and discuss the use of derivative securities
Be able to analyze, discuss, and apply the concept of no-arbitrage and its limitations
Be able to analyze, discuss, and apply interest rate risk and credit risk modelling concepts
Be able to apply and analyze Value-at-Risk based risk measures

Course prerequisites

This is a mandatory course for the MSc in Advanced Economics and Finance. It is assumed that students have knowledge similar to the entry requirements for the MSc in Advanced Economics and Finance. For spring courses knowledge similar to the content of the 1st-semester courses is assumed as well. The courses have 45 contact hours (lectures and exercises), and there is a high level of interaction between lecturer and students, and in general a high work load. To sign up send a 1-page motivational letter, a 1-page CV, and a grade transcript to ily.stu@cbs.dk before the registration deadline for elective courses. You may find the registration deadlines on my.cbs.dk ( https://studentcbs.sharepoint.com/sites/ChoicesAndOptions/SitePages/en/Registration-for-electives.aspx ). Please also remember to sign up through the online registration.

Facts

Level

Kandidat

Type

Obligatorisk fag – også udbudt som valgfag

ECTS

7,5

Code

CEADO2002U

Teaching periods

Forår – semester

Academic year

2025/2026

Status

Available places

Teaching language

English

Teaching Format

Hybrid

Exams

Skriftlig eksamen på campus
Individual exam, sommer

Assessment type

7-trins skala