Course Catalog Description
Risk Management Case Studies
Strategies for Quantitative Investing
Optimal Hedging Monte Carlo
Basel II, Basel III, and CVA
Extreme Value Theory
This course is largely a continuation of FE 535. The course begins with Risk management case studies. It continues with strategies for quantitative investing. Credit Derivatives will be introduced along with the pricing models using Hazard rates and Copulus. Modern regulatory theory using Basel II, Basel III, and CVA as a starting point will be analyzed. Finally, the study of Fat-tailed distributions such as Pareto and those coming from Extreme Value theory will be discussed.
Prerequisite(s): FE 535
All the homework assignments require the use of Excel with the following properties:
d. Skew(), Kurt(), Average(), Stdev(), Frequency()
2) Data Analysis Function: Histogram
Attention Apple Users: Even though you may have Excel, the above functionality does not come with all Apple versions of Excel so you better check to see what your Excel provides.
Homework Mostly in Excel.
Exams In-class and closed book
Homework assignments must be uploaded to the Canvas shell of the course.
Practical Methods of Financial Engineering and Risk Management, Rupak Chatterjee, Apress-Springer, 2014.
Risk Management and Financial Institutions, John Hull, John Wiley & Sons, 2012.
Monte Carlo Methods in Financial Engineering, Paul Glasserman, Springer-Verlag, 2004.
Fixed Income Securities, 3rd Edition, Bruce Tuckman & Angel Serrat, Wiley Finance, 2012.
Gareds will be based on:
50% Final Exam
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 not use the following devices during exams. Any electronic devices that are not mentioned in the list below are also not permitted.
2. Students may not use the following materials during exams. Any materials that are not mentioned in the list below are also not permitted.
||Introduction to Financial Engineering
||Ch. 1 and 2
| Week 2
||Capital Markets Overview
| Week 3
||Corporate Finance & Valuation
| Week 4
| Week 5
||Fixed Income Debt Securities
| Week 6
||Overview of Bonds Sectors & Instruments
| Week 7
||Valuation of Debt Securities
| Week 8
| Week 9
||Leveraged Loans & CLO's
| Week 10
||General Principles of Credit Analysis
| Week 11
| Week 12
||Poisson Processes and Jump Diffusion
| Week 13
| Week 14
||Review & Catch-up