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Risk Management presents an overview of the measurement and management of risks in modern financial institutions. The course begins with a review of topics, such as the efficient frontier and capital asset pricing model (CAPM) that serve as a basis for understanding risk-return analysis. The course then moves on to examine various tools used in measuring and analyzing risks, placing emphasis on value at risk (VaR) approaches. This course also discusses off-balance-sheet items such as loan commitments and securitization and examines the role of regulators in controlling such risks. As a foundation for understanding financial crises, the course describes the U.S. mortgage market, asset-backed securities (ABSs), and collateralized debt obligations (CDOs). Finally, the course evaluates the benefits of scenario analysis and stress testing.
Advisory: This is an upper-level finance course. It is advisable to have knowledge in FIN-3010: Principles of Finance, MAT-1190: Quantitative Business Analysis, or MAT-1210: College Algebra, and STA-2010: Principles of Statistics with grades of C or better to succeed in this course. Students are responsible for making sure that they have the necessary knowledge.
Credits: 3
Preview the Online Syllabus
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