Introduction

The course will review different topics related to risk modeling and management, specifically in line with Financial Risk Manager (FRM) Parts I and II. The class will begin with basic topics related to Quantitative Analysis and Financial Market Products, covering derivatives and options. Toward the second half of the class, we will cover more advanced topics related to Market and Credit Risk Management, such as measuring default risk and managing credit risk. Additionally, the students will have the opportunity to apply their knowledge in three mini-projects over the semester. Weekly tutorials will be held to further assist the students meet their goals and equip them with the necessary tools needed to tackle real data risk management problems.

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.

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

HANDOUTS

A 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 Policies

• 25% Midterm
• 25% Final Exam
• 30% Mini Projects
• 10% Labs
• 10% Participation

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 use the following devices during exams. Any electronic devices that are not mentioned in the list below are not permitted.
Calculators
2. 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
3. Students are allowed to work with or talk to other students during quizzes and use laptops.