This course follows on from ACST8060 (Enterprise Risk Management 1) to develop expertise in several aspects of Enterprise Risk Management including a thorough understanding of

• quantitative risk modelling and risk aggregation tools and techniques
• different risk measures
• the use of models in the ERM decision-making process, and
• methods and techniques for assessing and evaluating market risk, credit risk, operational and other risks.

Learning Outcomes

Upon successful completion, students will have the knowledge and skills to:

Upon successful completion of the requirements for this course, students should have the kowledge and skills to:

1.    Describe in detail the properties and limitations of common risk measures.

2.    Explain how models can be used in the ERM decision-making process.

3.    Demonstrate an understanding and be able to explain the different quantitative techniques for modelling and measuring risk including:

• Risk aggregation methods
• Statistical distributions
• Copulas
• Time series techniques
• Extreme value theory

4.    Recommend and communicate appropriate models for risk assessment based on quantitative and qualitative analysis.

5.    Assess and explain the different types of risk within an organisation including: market risk, credit risk, operational and other risks.

Research-Led Teaching

Gaurav has many years of professional practice and active research. He also has the relevant background in the field of enterprise risk management. The course will address current issues of interest and current approaches to actuarial practice in enterprise risk management.

Examination Material or equipment

The following material is permitted in the examination room:

•       Non-programmable calculator,

•       paper dictionary (without annotation), and

•       1 A4 page with notes on both sides (hand written or typed).

Required Resources

It is strongly advised that students undertaking this course have access to the following texts:

• Actuarial Education Company (ActEd) ST9 Course Notes (This is available for free from the RSFAS office).
• SWEETING, P. 2011. Financial Enterprise Risk Management, Cambridge University Press (This is available from the library)

These texts were also used for the course ACST8060.

In many weeks of this course, we will be using Excel spreadsheets and the statistical software R, in class to demonstrate various aspects of the course.

Bringing your own laptop to class, or having access to someone else’s laptop, will be important if you wish to better understand the techniques taught in the class, and so you can apply your knowledge to real data. Working in pairs or three’s is encouraged, so students may share laptops with others. 

Staff Feedback

Students will be given feedback in the following forms in this course:·       

• Following the mid-semester examination, feedback will be given to the whole class about the general performance on the exam.
• Students will have an opportunity to look over their script-book following both the mid-semester and final examinations.
• Students will have the opportunity to speak with the lecturer (and demonstrator) and seek comments from the lecturer (and demonstrator) about their performance in the assignments. 

Student Feedback

ANU is committed to the demonstration of educational excellence and regularly seeks feedback from students. Students are encouraged to offer feedback directly to their Course Convener or through their College and Course representatives (if applicable). The feedback given in these surveys is anonymous and provides the Colleges, University Education Committee and Academic Board with opportunities to recognise excellent teaching, and opportunities for improvement. The Surveys and Evaluation website provides more information on student surveys at ANU and reports on the feedback provided on ANU courses.

Other Information

Assessment Requirements

As a further academic integrity control, students may be selected for a 15 minute individual oral examination of their written assessment submissions.

Any student identified, either during the current semester or in retrospect, as having used ghost writing services will be investigated under the University’s Academic Misconduct Rule.

Exemption from Part III – Module 1 - Course C7A

The standard for exemptions from the Institute Part III – Module 1 - Course C7A Enterprise Risk Management is achievement of a weighted average mark of 75 per cent or better over the combination of the two units ACST4060 and ACST4061, with a minimum requirement of 65 per cent in each unit. Each course counts 50% towards this exemption.

Class Schedule

Week/Session	Summary of Activities	Assessment
1	Introduction to the Course Risk Measurement (ActEd ST9 Module 14)
2	Risk Modelling – Part 1 (ActEd ST9 Module 15) A Review of Statistical Distributions (I) (ActEd ST9 Module 16)
3	A Review of Statistical Distributions (II) (ActEd ST9 Module 16) Copulas (ActEd ST9 Module 18)
4	Financial Time-Series (ActEd ST9 Module 17)
5	Model Fitting Techniques (ActEd ST9 Module 19) Extreme Value Theory (I) (ActEd ST9 Module 20)	Assignment 1 Due
6	Extreme Value Theory (II) (ActEd ST9 Module 20)	Mid-semester Exam (week 6 or 7)
7	Review and Catch up Risk Modelling – Part 2 (ActEd ST9 Module 21)	Mid-semester Exam (week 6 or 7)
8	Analysing Market Risk (I) (ActEd ST9 Module 22)
9	Analysing Market Risk (II) (ActEd ST9 Module 22) Analysing Credit Risk (I) (ActEd ST9 Module 23)
10	Analysing Credit Risk (II) (ActEd ST9 Module 23)
11	Analysing Operational and Other Risks (ActEd ST9 Module 24 and 25)	Assignment 2 Due
12	Review and Catch up

Assessment Summary

Assessment task	Value	Due Date	Return of assessment	Learning Outcomes
Individual Assignment (Assignment 1)	5 %	22/08/2019	28/08/2019	1
Mid-Semester Exam	30 %	26/08/2019	02/10/2019	1
Group Assignment (Assignment 2)	15 %	17/10/2019	25/10/2019	1,2,3
Final Exam	50 %	31/10/2019	28/11/2019	1,2,3,4

* If the Due Date and Return of Assessment date are blank, see the Assessment Tab for specific Assessment Task details

Policies

ANU has educational policies, procedures and guidelines, which are designed to ensure that staff and students are aware of the University’s academic standards, and implement them. Students are expected to have read the Academic Misconduct Rule before the commencement of their course. Other key policies and guidelines include:

• Student Assessment (Coursework) Policy and Procedure
• Special Assessment Consideration Policy and General Information 
• Student Surveys and Evaluations
• Deferred Examinations
• Student Complaint Resolution Policy and Procedure

Assessment Requirements

The ANU is using Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. For additional information regarding Turnitin please visit the ANU Online website. In rare cases where online submission using Turnitin software is not technically possible; or where not using Turnitin software has been justified by the Course Convener and approved by the Associate Dean (Education) on the basis of the teaching model being employed; students shall submit assessment online via ‘Wattle’ outside of Turnitin, or failing that in hard copy, or through a combination of submission methods as approved by the Associate Dean (Education). The submission method is detailed below.

Moderation of Assessment

Marks that are allocated during Semester are to be considered provisional until formalised by the College examiners meeting at the end of each Semester. If appropriate, some moderation of marks might be applied prior to final results being released.

Examination(s)

The course includes formal examination through a mid-semester and final examination as described above. 

Assessment Task 1

Individual Assignment (Assignment 1)

Details of task:

Assignment 1 will cover material from week 1-4 (up to and including financial time series). The assignment will require answers to some problem solving. This assignment is expected to be of hard-copy submission.

Questions will be available on Wattle by CoB 29.07.2019.

Value: 5%

Due date and time: Thursday 22nd August. 3 pm (week 5)

Assessment Task 2

Mid-Semester Exam

Details of task:

The Mid-Semester Exam will be 2 hours plus an additional 15 minutes as reading time. Please note that the Mid-Semester Exam is compulsory and non-redeemable.

Value: 30%

Date: Centrally timetabled. The Mid-Semester Exam will be scheduled for Week 6 or Week 7, however, this date may change depending on room availability. Further details relating to the exam will be provided closer to the scheduled date. Centrally administered examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU Timetabling for further information. Exam scripts will not be returned.

Assessment Task 3

Group Assignment (Assignment 2)

Details of task: Students will be allocated to groups randomly. Groups will be required to analyse a data set and write a report. There will be opportunity for group members to provide feedback on their group mates which might affect the individual marks of group members.

Questions will be available on Wattle by CoB 20.09.2019.

Word limit: TBA

Value: 15%

Due date and time: Thursday 17 October 4 pm (Week 11)

Assessment Task 4

Final Exam

Details of task:

The Final Exam will be 3 hours plus an additional 15 minutes as reading time.

The Final Exam is compulsory. Further details relating to the Exam will be provided closer to the scheduled date.

Value: 50%

Date: Centrally timetabled. Centrally administered examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU Timetabling for further information. Exam scripts will not be returned.

Academic Integrity

Academic integrity is a core part of the ANU culture as a community of scholars. At its heart, academic integrity is about behaving ethically, committing to honest and responsible scholarly practice and upholding these values with respect and fairness.

The ANU commits to assisting all members of our community to understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. The ANU expects staff and students to be familiar with the academic integrity principle and Academic Misconduct Rule, uphold high standards of academic integrity and act ethically and honestly, to ensure the quality and value of the qualification that you will graduate with.

The Academic Misconduct Rule is in place to promote academic integrity and manage academic misconduct. Very minor breaches of the academic integrity principle may result in a reduction of marks of up to 10% of the total marks available for the assessment. The ANU offers a number of online and in person services to assist students with their assignments, examinations, and other learning activities. Visit the Academic Skills website for more information about academic integrity, your responsibilities and for assistance with your assignments, writing skills and study.

Online Submission

You will be required to electronically sign a declaration as part of the submission of your assignment. Please keep a copy of the assignment for your records. Unless an exemption has been approved by the Associate Dean (Education) submission must be through Turnitin.

Assignment 2 submission will consist of a report and software related files (R and Excel) uploaded to Wattle to the relevant Assignment activity. Groups will submit a single assignment, although all individuals in a group will be required to click on the “submit” button when uploading their completed assignment to Wattle. (This is not a TurnitIn activity as TurnitIn does not offer group assignment submission functionality). Note that uploading these files to Wattle implies that your group has worked only together and not with other groups, and have abided by the principles of academic honesty.

Hardcopy Submission

Assignment 1 some will be submitted in hard copy format. Hard copy submissions must utilise the Assignment Cover Sheet. Please keep a copy of tasks completed for your records.

Late Submission

Individual assessment tasks may or may not allow for late submission. Policy regarding late submission is detailed below:

• Late submission not permitted. If submission of assessment tasks without an extension after the due date is not permitted, a mark of 0 will be awarded.

Referencing Requirements

Accepted academic practice for referencing sources that you use in presentations can be found via the links on the Wattle site, under the file named “ANU and College Policies, Program Information, Student Support Services and Assessment”. Alternatively, you can seek help through the Students Learning Development website.

Returning Assignments

Marked assignments will be returned as soon as they are marked (usually a week), either in class time, or via email or Wattle to individual students.

Extensions and Penalties

Extensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure. The Course Convener may grant extensions for assessment pieces that are not examinations or take-home examinations. If you need an extension, you must request an extension in writing on or before the due date. If you have documented and appropriate medical evidence that demonstrates you were not able to request an extension on or before the due date, you may be able to request it after the due date.

Resubmission of Assignments

Students will not be permitted to resubmit assignments.  

Privacy Notice

The ANU has made a number of third party, online, databases available for students to use. Use of each online database is conditional on student end users first agreeing to the database licensor’s terms of service and/or privacy policy. Students should read these carefully. In some cases student end users will be required to register an account with the database licensor and submit personal information, including their: first name; last name; ANU email address; and other information.
In cases where student end users are asked to submit ‘content’ to a database, such as an assignment or short answers, the database licensor may only use the student’s ‘content’ in accordance with the terms of service – including any (copyright) licence the student grants to the database licensor. Any personal information or content a student submits may be stored by the licensor, potentially offshore, and will be used to process the database service in accordance with the licensors terms of service and/or privacy policy.
If any student chooses not to agree to the database licensor’s terms of service or privacy policy, the student will not be able to access and use the database. In these circumstances students should contact their lecturer to enquire about alternative arrangements that are available.

Distribution of grades policy

Academic Quality Assurance Committee monitors the performance of students, including attrition, further study and employment rates and grade distribution, and College reports on quality assurance processes for assessment activities, including alignment with national and international disciplinary and interdisciplinary standards, as well as qualification type learning outcomes.

Since first semester 1994, ANU uses a grading scale for all courses. This grading scale is used by all academic areas of the University.

Support for students

The University offers students support through several different services. You may contact the services listed below directly or seek advice from your Course Convener, Student Administrators, or your College and Course representatives (if applicable).

• ANU Health, safety & wellbeing for medical services, counselling, mental health and spiritual support
• ANU Diversity and inclusion for students with a disability or ongoing or chronic illness
• ANU Dean of Students for confidential, impartial advice and help to resolve problems between students and the academic or administrative areas of the University
• ANU Academic Skills and Learning Centre supports you make your own decisions about how you learn and manage your workload.
• ANU Counselling Centre promotes, supports and enhances mental health and wellbeing within the University student community.
• ANUSA supports and represents undergraduate and ANU College students
• PARSA supports and represents postgraduate and research students