FE535 Introduction to Financial Risk Management
Course Catalog Description
Introduction
Campus | Fall | Spring | Summer |
---|---|---|---|
On Campus | X | X | |
Web Campus | X | X |
Instructors
Professor | Office | |
---|---|---|
Majeed Simaan
|
msimaan@stevens.edu | Babbio 514 |
More Information
Course Outcome
The objective of the course is to learn the main financial concepts and analytical tools in risk management. Lectures will be combined with discussions, in-class labs, and applied projects using real data and computations. As a result, the aim of the class is to help students to both think and act as professional risk managers. Additionally, the class aims to cover different topics from FRM Parts I and II, aiding the students to comprehend the exam materials from a deeper perspective.
Course Resources
Textbook
Financial Risk Manager Handbook, + Test Bank: FRM Part I / Part II 6th Edition by Philippe Jorion
Additional References
Risk Management and Financial Institutions (Wiley Finance) 4th Edition by John C. Hull
Practical Methods of Financial Engineering and Risk Management: Tools for Modern Financial Professionals by Rupak Chatterjee
The Essentials of Risk Management (McGraw-Hill) 2nd Edition by Michel Crouhy, Dan Galai, and Robert Mark
A Quantitative Primer on Investments with R by Dale W.R. Rosenthal
HANDOUTSA set of handouts/lecture notes will be given as the course progresses. These handouts will be very useful to conduct computations and address the underlying tasks from the mini projects. These, however, will only serve as a complement to the textbook and should not, by any mean, be treated as a substitute.
Grading
Grading Policies
- 25% Midterm
- 25% Final Exam
- 30% Mini Projects
- 10% Labs
- 10% Participation
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.
- Students may use the following devices during exams. Any electronic devices that are not mentioned in the list below are not permitted. Calculators
- 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
- Students are allowed to work with or talk to other students during quizzes and use laptops.
Lecture Outline
Topic | Reading | |
---|---|---|
Week 1 | Intro to Risk Management | Ch. 1 from Jorion Recommended: Ch.1 from Hull |
Week 2 | Intro to Risk Management | Ch. 1 from Jorion Recommended: Ch.1 from Hull |
Week 3 | Modeling and Simulation | Ch. 4 from Jorion Recommended: Ch. 7 from Hull |
Week 4 | Modeling and Simulation II | see above |
Week 5 | Calibration of GBM and application to RM | see above |
Week 6 | Introduction to Bond and Interest Rate Risk | Ch. 6 from Jorion |
Week 7 | Midterm Review + Guest Lecture | |
Week 8 | Introduction to Bond and Interest Rate Risk | Ch. 6 from Jorion |
Week 9 | Introduction to Bond and Interest Rate Risk II | Ch. 6 from Jorion |
Week 10 | Introduction to Derivatives | Ch. 7 from Jorion Recommended: Ch. 5 from Hull For further information on the OTC market refer to Ch 18 from Hull |
Week 11 | Introduction to Derivatives II | Ch. 7 from Jorion Recommended: Ch. 5 from Hull For further information on the OTC market refer to Ch 18 from Hull |
Week 12 | Managing Linear Risk | Ch. 13 from Jorion Recommended: Ch. 8 from Hull |
Week 13 | Option Markets | Ch. 8 from Jorion Recommended: Ch. 8 from Hull |
Week 14 | Managing Non-Linear Risk | Ch. 14 from Jorion Recommended: Ch. 8 from Hull |
Week 15 | Guest Lecture + Final Review |