The Measurement and Management of Market Risk II
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Overview
Description
This course is a continuation of Finance 9852, The Measurement and Management of Market Risk I, and extends students' knowledge of the concepts and measures of market risk. From this foundation, students will learn how financial institutions actively use these models to manage risk, and how these techniques are tested and evaluated in practice. This course will also include an analysis of the implications of market risk for regulatory capital requirements. Specific topics include: estimation of value at risk for derivatives and fixed income securities with embedded optionality, and evaluations using techniques of stress testing, and Monte Carlo and scenario analyses.
Career
Graduate
Credits
Value
1.5
Max
1.5
Min
1.5
Course Count
1
Number Of Credits
1.5
Number Of Repeats
1
Repeatable
No
Contact Use
Yes
Generate Attendance
No
Left Use
Yes
Present Use
Yes
Reason Use
Yes
Tardy Use
Yes
Template Override
No
Time Use
Yes
Attendance Type
Class Meeting
Auto Create
No
Code
LEC
Instructor Contact Hours
1.5
Default Section Size
30
Final Exam Type
Yes
Include in Dynamic Date Calc
No
Instruction Mode
In Person
LMS File Type
Blackboard CourseInfo 4
Name
Lecture
OEE Workload Hours
0
Optional Component
No
Preferred Room Features
Academic Scheduling
Workload Hours
1.5