FE635 Financial Enterprise Risk Engineering

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Course Catalog Description

Introduction

Risk Management Case Studies

Strategies for Quantitative Investing Optimal Hedging Monte Carlo Credit Derivatives Basel II, Basel III, and CVA Extreme Value Theory

Campus Fall Spring Summer
On Campus X
Web Campus

Instructors

Professor Email Office
Rupak Chatterjee
Rupak.Chatterjee@stevens.edu Babbio 545



More Information

Course Description

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

COURSE REQUIREMENTS

All the homework assignments require the use of Excel with the following properties:

1) Functions:

    a. Offset()

    b. Rand()

    c. Norminv()

    d. Skew(), Kurt(), Average(), Stdev(), Frequency()

    e. Gammaln()

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.

    Attendance Required

    Participation Required

    Homework Mostly in Excel.

    Exams In-class and closed book

 

Homework assignments must be uploaded to the Canvas shell of the course.

 



Course Resources

Textbook

Practical Methods of Financial Engineering and Risk Management, Rupak Chatterjee, Apress-Springer, 2014.

Additional References

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.



Grading

Grading Policies

Gareds will be based on:

20% Homeworks

30% Midterm

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.

    Laptops

    Cell Phones

    Tablets

    Smart Watches

    Google Glass

    Other

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

    Handwritten Notes

    Typed Notes 

    Textbooks 

    Readings

    Other


Lecture Outline

Topic Reading
Week 1 Introduction to Financial Engineering Ch. 1 and 2
Week 2 Capital Markets Overview Ch. 3
Week 3 Corporate Finance & Valuation Ch. 3
Week 4 Equity Analysis Ch. 4
Week 5 Fixed Income Debt Securities Ch. 4
Week 6 Overview of Bonds Sectors & Instruments Ch. 4
Week 7 Valuation of Debt Securities Ch. 4
Week 8 Securitized Products
Week 9 Leveraged Loans & CLO's Ch. 5
Week 10 General Principles of Credit Analysis Ch. 5
Week 11 Foreign Exchange Ch. 6
Week 12 Poisson Processes and Jump Diffusion Ch. 11
Week 13 Exotic Options Ch. 7
Week 14 Review & Catch-up