Introduction

Risk Management Case Studies Strategies for Quantitative Investing Optimal Hedging Monte Carlo Credit Derivatives Basel II, Basel III, and CVA Extreme Value Theory

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 REQUIREMENTS

All 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.

Textbook

Practical Methods of Financial Engineering and Risk Management, Rupak Chatterjee, Apress-Springer, 2014.