FE635 Financial Enterprise Risk Engineering
Course Catalog Description
Introduction
Campus | Fall | Spring | Summer |
---|---|---|---|
On Campus | X | ||
Web Campus |
Instructors
Professor | Office | |
---|---|---|
Rupak Chatterjee | Rupak.Chatterjee@stevens.edu | Babbio 545 |
More Information
Course Description
This course is largely a continuation of FE 535. The course begins with Risk management case studies. It continues with strategies for quantitative investing. Credit Derivatives will be introduced along with the pricing models using Hazard rates and Copulus. Modern regulatory theory using Basel II, Basel III, and CVA as a starting point will be analyzed. Finally, the study of Fat-tailed distributions such as Pareto and those coming from Extreme Value theory will be discussed.
Prerequisites: FE 535
COURSE REQUIREMENTSAll the homework assignments require the use of Excel with the following properties:
1) Functions:
- a. Offset()
- b. Rand()
- c. Norminv()
- d. Skew(), Kurt(), Average(), Stdev(), Frequency()
- e. Gammaln()
2) Data Analysis Function: Histogram
- Attention Apple Users: Even though you may have Excel, the above functionality does not come with all Apple versions of Excel so you better check to see what your Excel provides.
- Attendance Required
- Participation Required
- Homework Mostly in Excel.
- Exams In-class and closed book
Homework assignments must be uploaded to the Canvas shell of the course.
Course Resources
Textbook
Practical Methods of Financial Engineering and Risk Management, Rupak Chatterjee, Apress-Springer, 2014.
Additional References
Risk Management and Financial Institutions, John Hull, John Wiley & Sons, 2012.
Monte Carlo Methods in Financial Engineering, Paul Glasserman, Springer-Verlag, 2004.
Fixed Income Securities, 3rd Edition, Bruce Tuckman & Angel Serrat, Wiley Finance, 2012.
Grading
Grading Policies
Gareds will be based on:
20% Homeworks
30% Midterm
50% Final Exam
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 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
2. Students may not use the following materials during exams. Any materials that are not mentioned in the list below are also not permitted.
Handwritten Notes
Typed Notes
Textbooks
Readings
Other
Lecture Outline
Topic | Reading | |
---|---|---|
Week 1 | Introduction to Financial Engineering | Ch. 1 and 2 |
Week 2 | Capital Markets Overview | Ch. 3 |
Week 3 | Corporate Finance & Valuation | Ch. 3 |
Week 4 | Equity Analysis | Ch. 4 |
Week 5 | Fixed Income Debt Securities | Ch. 4 |
Week 6 | Overview of Bonds Sectors & Instruments | Ch. 4 |
Week 7 | Valuation of Debt Securities | Ch. 4 |
Week 8 | Securitized Products | |
Week 9 | Leveraged Loans & CLO's | Ch. 5 |
Week 10 | General Principles of Credit Analysis | Ch. 5 |
Week 11 | Foreign Exchange | Ch. 6 |
Week 12 | Poisson Processes and Jump Diffusion | Ch. 11 |
Week 13 | Exotic Options | Ch. 7 |
Week 14 | Review & Catch-up |