Risk Management Courses
This course provides the foundation for quantitative risk models. The course emphasizes important probability distributions for returns, statistical measures of risk and return, the estimation and use of factor models for analyzing risk. The course introduces the concept of Value at Risk (VaR) models as a unified approach to evaluating risk across a variety of financial assets. Prerequisites: ECON 712 or MSFA 712
This course examines the different types of risk that arise across a variety of different assets due to the characteristics of the assets and the structure of the markets they trade in. Advanced Value at Risk models that capture the non-linear nature of certain derivatives and market structures are developed. Scenario analysis is examined as a way to evaluate one-off risks as well as a way to stress test VaR models and their assumptions in extreme scenarios.
This course develops models for market risk in fixed income assets including mortgage-backed securities. The role of advanced derivatives, such as credit default swaps, special purpose vehicles and collateralized debt obligations, in hedging these risks is explored. Prerequisites: ECON 750 or MSRM 750
This course investigates the role of credit risk in fixed income portfolios. Models of default and recovery rates, counterparty risk in derivative contracts, and structured products arisen from asset securitization are developed to manage credit risk. Prerequisites: ECON 752 or MSRM 752
This course emphasizes the development and implementation of risk management systems to measure and mitigate corporate financial risk exposures. The focus is the correlations across market, credit and operational risks and the allocation of risk capital across the firm. The importance of regulatory requirements (Basel II and Ill) in this process is emphasized. Prerequisites: ECON 752 or MSRM 752
Develops advanced applications of the risk models developed in earlier courses. Applications include developing stress tests for VaR that meet Basel II and III standard scenarios, KMV models for credit risk modeling, risk management for CD's and case studies in model risk. Prerequisites: ECON 752 or MSRM 752
