Mathematics 16:643:631 Mathematical Methods for Financial Risk Management
ScheduleThe course is normally offered during the Fall semester.
- Class meeting dates: Please visit the University's academic calendar.
- Schedule and Instructor: Please visit the University's schedule of classes for the instructor, time, and room.
- Instructor and Teaching Assistant Office Hours: Please visit the Mathematical Finance program's office hour schedule.
This Risk Management course will encompass from both theoretical, quantitative and practical points of view all the major areas of a modern Financial Risk Management - Market Risk, Credit Risk, Liquidity Risk, Operational Risk, Model Risk, etc. with stressing out both quantitative, financial and procedural aspects and including Stress Testing, Backtesting, Quantitative Risk Management, etc. The suggested course structure is as follows:1. Introduction - History of Risk Management and its vital importance in the current economic environment.
2. Creating a Risk Management culture in the financial organization and beyond.
3. Major types of Financial Risk (and corresponding Risk Management and Risk Analytics).
4. Enterprise Stress Testing and its role during a financial crises and afterwards. Pros and cons of its approaches.
5. Backtesting and its crucial importance in tackling financial crisis indicators. 6. Quantitative approaches in all major types of Risk Management with the goal of a single toolkit for all Risk Management.
7. Risk Reporting and its importance for Risk Management, Risk Technology, Risk Quants, Management and regulators.
8. Conclusion (perspectives of future development in all major areas of Risk Management and Risk Analytics).
Pre-requisitesMath 16:643:621 (Mathematical Finance I), Math 16:643:622 (Mathematical Finance II)
Textbooks1. Phillippe Jorion, Value-at-Risk: The New Benchmark for Managing Financial Risk, third edition.- McGraw Hill
2. John Hull, Risk Management And Financial Institutions, fourth edition - Wiley
SakaiRecommended exam and grading schemes for MSMF courses are provided here, but the instructor will confirm the actual exam and grading scheme for the current semester.
GradingRecommended exam and grading schemes for MSMF courses are provided here, but the instructor will confirm the actual exam and grading scheme for the current semester.
Class PoliciesPlease see the MSMF common class policies.
Weekly Lecturing AgendaThe lecture schedule below is a sample; actual content may vary depending on the instructor. Please see Sakai for current lecture schedule. Readings for each lecture will be provided by the instructor.
|1||Introduction to the Quantitative Risk Management course:||
|2||Major types of Financial Risk and cross-fertilization of their infrastructures and consequences for:||
|3||Market Risk and its:||
|4||Credit Risk and its:||
|5||Liquidity Risk and its:||
|6||Operational Risk and its:||
|7||Enterprise Stress Testing (EST) and||
|8||Backtesting and its crucial importance in tackling financial crisis indicators in:||
|9||Quantitative approaches in all major types of Risk Management with the goal of a single toolkit for all Risk Management:||
|10||Quantitative approaches in all major types of Risk Management with the goal of a single toolkit for all Risk Management (cont.):||
|11||Data in Risk Management and vital importance for creating a successful Risk Management Infrastructure of:||
|12||Basel frameworks (1, 2, 2.5 and 3)||
|13||Risk Reporting||Risk Reporting importance for:
Perspectives of future development in all major areas of Risk Management and Risk Analytics