FE535 Introduction to Financial Risk Management

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Course Catalog Description

Introduction

The course will review different topics related to risk modeling and management, specifically in line with Financial Risk Manager (FRM) Parts I and II. The class will begin with basic topics related to Quantitative Analysis and Financial Market Products, covering derivatives and options. Toward the second half of the class, we will cover more advanced topics related to Market and Credit Risk Management, such as measuring default risk and managing credit risk. Additionally, the students will have the opportunity to apply their knowledge in three mini-projects over the semester. Weekly tutorials will be held to further assist the students meet their goals and equip them with the necessary tools needed to tackle real data risk management problems.
Campus Fall Spring Summer
On Campus X X X
Web Campus X X X

Instructors

Professor Email Office
Majeed Simaan
msimaan@stevens.edu Babbio 514



More Information

Course Description

See Outcomes.

Course Outcomes

The objective of the course is to learn the main financial concepts and analytical tools in risk management. Lectures will be combined with discussions, in-class labs, and applied projects using real data and computations. As a result, the aim of the class is to help students to both think and act as professional risk managers. Additionally, the class aims to cover different topics from FRM Parts I and II, aiding the students to comprehend the exam materials from a deeper perspective.


Course Resources

Textbook

Financial Risk Manager Handbook, + Test Bank: FRM Part I / Part II 6th Edition by Philippe Jorion

Additional References

Risk Management and Financial Institutions (Wiley Finance) 4th Edition by John C. Hull

Practical Methods of Financial Engineering and Risk Management: Tools for Modern Financial Professionals by Rupak Chatterjee

The Essentials of Risk Management (McGraw-Hill) 2nd Edition by Michel Crouhy, Dan Galai, and Robert Mark

A Quantitative Primer on Investments with R by Dale W.R. Rosenthal

HANDOUTS

A set of handouts/lecture notes will be given as the course progresses. These handouts will be very useful to conduct computations and address the underlying tasks from the mini projects. These, however, will only serve as a complement to the textbook and should not, by any mean, be treated as a substitute.



Grading

Grading Policies

Gareds will be based on:

25% Midterm

25% Final Exam

30% Mini Projects

10% Labs

10% Participation

EXAM ROOM CONDITIONS

The following procedures apply to exams for this course. As the instructor, I reserve the right to modify any conditions set forth below by printing revised Exam Room Conditions on the exam.

1. Students may use the following devices during exams. Any electronic devices that are not mentioned in the list below are not permitted.

    Calculators

2. Students may not use the following devices during exams. Any electronic devices that are not mentioned in the list below are also not permitted.

    Laptops

    Cell Phones

    Tablets

    Smart Watches

    Google Glass

    Other

3. Students are allowed to work with or talk to other students during quizzes and use laptops.


Lecture Outline

Topic Reading
Week 1 Intro to Risk Management Ch. 1 from Jorion

Recommended: Ch.1 from Hull

Week 2 No Class - Labor Day Refresh your probability and statistics knowledge: read Ch. 2 and Ch 3 from Jorion
Week 3 Modeling and Simulation Ch. 4 from Jorion

Recommended: Ch. 7 from Hull

Week 4 Modeling Risk Factors Ch. 5 from Jorion

Recommended: Ch. 10 from Hull

Week 5 Options and Fixed Income Derivatives Ch. 7 and 8 from Jorion

Recommended: Ch. 5 from Hull

Week 6 Valuation and Risk Models (Linear Models) Ch 12,13

Recommended: Ch. 9 from Hull

Week 7 Valuation and Risk Models (Non-linear Risk) Ch 14 from Jorion

Recommended: Ch 8 from Hull

Week 8 Industry Speaker Presentation TBA
Week 9 Midterm
Week 10 Advanced Risk Models Ch 15 from Jorion
Week 11 Advanced Risk Models II Ch 16 from Jorion
Week 12 Managing Volatility Risk Ch 17 from Jorion
Week 13 Credit Risk Ch 19 from Jorion

Recommended: Ch 18 from Hull

Week 14 Default Risk Ch 20 and 21 from Jorion

Recommended: Ch 19 from Hull