MSc in Oil & Gas and Offshore Engineering

Course Information Package

Course Unit CodeMEM512
Course Unit DetailsMSc Engineering Management (Electives Courses) - MSc Oil & Gas and Offshore Engineering (Elective Courses) -
Number of ECTS credits allocated7
Learning Outcomes of the course unitBy the end of the course, the students should be able to:
  1. List and describe the main sources of financial and operations risk
  2. Apply risk management using value at risk (VaR) approach for various type of investment assets as well as portfolio of assets owned by the company
  3. Explain the use of contingent claims (options) for the management of risk
  4. Formulate simulation variables in one and many dimensions using appropriate software and evaluate financial and operational risk management problems
  5. Utilize and synthesize multiple quantitative skills in engineering management to evaluate realistic operations decisions involving risk in production scheduling, product ordering, machine replacement, capacity planning and product mix
  6. Apply system simulation approach to evaluate problems related to work in progress, distribution centres, assembly lines and batch process manufacturing and machine failure modelling
Mode of DeliveryFace-to-face
Recommended optional program components Readings:
The students are expected to read and review 4-5 papers from relevant scientific and business journals.

Course Contents Part 1: Introduction to financial risk management
An overview of the different types of risks including market, interest rate, currency, credit and operations risk
Part 2: The VaR approach to risk management
Measuring financial risk using the Value at Risk (VaR) approach. Risk calculations using parametric distributions. Uses of VaR. Backtesting VaR models. Portfolio risk. Calculating and forecasting volatilities and correlations.
Part3: Implementing Delta-Normal VaR
Application to currencies and stocks. Application to fixed income securities. Applications to options and futures. Applications to portfolios with many assets.
Part4: Simulation method in risk management
Historical simulation. Monte Carlo simulation in one dimension. Multidimensional Monte Carlo. Applications in financial risk management.
Part 5: Credit risk management
Financial statement information and risk of default. The contingent claims approach to credit risk
Part 6: Operations management decision areas
An overview of key operations management decision areas, such as Capacity, Facilities, Technology, and Vertical Integration planning, production planning & control, quality, organisation, workforce, new product development, and performance measurement systems.
Part 7: Spreadsheet simulation using @Risk
An introduction to @Risk, using spreadsheets to perform simulations, generating normal random variables. Hands-on practice on realistic operations management problems, such as: production scheduling based on uncertain demand and time requirements, optimal inventory ordering when demand is uncertain, capacity planning faced with uncertain demand for a new product, product mix decisions when demand and resource requirements for each product are uncertain. 
Part 8: System simulation using Arena
An introduction to Arena; using flowcharts to perform system simulation. Flowchart modules and their functionality; model data and data modules; process simulation and reports generation.  Hands-on practice on realistic manufacturing line problems, such as work in progress modeling, distribution centers, assembly lines, and batch process manufacturing establishments.

Recommended and/or required reading:
  • Value at Risk, by Philippe Jorion, 2nd Edition, 2001, McGraw-Hill. ISBN: 007135502
  • Risk Management, by M. Crouhy, D. Galai, R. Mark, 2001, McGraw-Hill. ISBN: 0071357319
  • Decision Making Under Uncertainty with RISKOptimizer, by Wayne Winston, PALISADE,
  • Decision Making Under Uncertainty with RISKOptimizer, A Training CD, by Wayne Winston, PALISADE,
  • Simulation Modeling and Arena, by Manuel D. Rossetti, 2009, Wiley, ISBN: 978-0-470-09726-7
  • Simulation Modeling And Analysis With Arena, by Tayfur Altiok, Benjamin Melamed, 2007, Elsevier Publications, ISBN: 978-0-12-370523-5 / 0-12-370523-1
  • Simulation with Arena, by David Kelton, Randall P Sadowski, Nancy B. Swets, 5th Edition, 2010, Mc-Graw-Hill, ISBN-13 9780073376288.
  • Options, Futures and Other Derivatives, by J. Hull, 6th edition, 2006, Pearson-Prentice Hall. ISBN 0131499084
  • Risk Management and Insurance, by S. Harrington and G. Niehaus, 2nd edition, 2004, McGraw-Hill. ISBN: 0072339705
  • Principles of Corporate Finance, by Brealey A. R., Myers C. S., 9th edition, 2008, McGraw-Hill. ISBN: 0071284915
  • Financial Theory and Corporate Policy, by Copeland T. E., Weston J. F., Shastri K., 4th edition, 2005, Prentice-Hall. ISBN: 0321127218
  • Simulation Modeling Using @Risk: Updated for Version 4, 1st Edition, by Wayne L. Winston, 2001, Cengage, ISBN-10: 053438059X, ISBN-13:9780534380595
Planned learning activities and teaching methods The course is delivered through three hours of lectures per week. Lectures also include in-class exercises to enhance the material learning process. The course also includes coursework.
Practical demonstrations and labwork are conducted in computer laboratories using various software The course material (notes, exercises, forum, etc) is maintained on the university’s e-learning platform

Assessment methods and criteria
Midterm Exam20%
Final Exam50%
Language of instructionEnglish
Work placement(s)NO