FE655 Systemic Risk and Financial Regulation
Course Catalog Description
Introduction
Campus | Fall | Spring | Summer |
---|---|---|---|
On Campus | X | ||
Web Campus | X |
Instructors
Professor | Office | |
---|---|---|
Khaldoun Khashanah |
khaldoun.khashanah@stevens.edu |
More Information
Course Description
The objective of this course is to provide FE students with advanced issues of risk beyond the enterprise level. The goals are to introduce the concepts of financial systems from a holistic perspective. This requires understanding the financial systems as part of a larger environment in which regulation is an important determinant.
Course Outcomes
Students will gain deeper understanding of more advanced risk models responding to the failure of classical risk models. On outcome will be to show how risk models break down under assumptions of normality in the markets and the new methods of modeling risk. Students also develop the elementary skills of conducting research in the field.
Course Resources
Textbook
Rupak Chatterjee, “Practical Methods of Financial Engineering and Risk Management”, ISBN978-1-4302-6133-9, Springer Apress, 2014.
Additional References
Globalization and Systemic Risk edited by D. Evanoff and D. Hoelscher and George Kaufman, World Scientific Studies in International Economics, 2009.
Hull, J.” Risk Management and Financial Institutions” (ISBN: 0-13-239790-0). 2006. Prentice Hall; 1 edition
McNeil, A., Rudinger Frey and Embrechts, P. “Quantitative Risk Management” Princeton University Press (2005)
Grading
Grading Policies
There are 4 hw assignments for 60% and a project report and presentation for 40%.
Project Outline Description:
The project in the class follows similar outlines to any project in FE with components that determine the project success:
- Abstract of 300 words describing the problem, its relevance, proposed methodology and highlight results.
- ntroduction and Literature review.
- Data and methodology
- Results
- Conclusions and future work
- The deliverables are: a project document and a presentation performed at the end of the semester. The document carries the weight of 30 points and the presentation carries 10 points.
Lecture Outline
Topic | Reading | |
---|---|---|
Week 1 | Introduction to systems theories and applications to financial systems | |
Week 2 | Evolution of regulatory framework: Glass-Steagall to Dodd-Frank Act | Notes |
Week 3 | Classical risk metrics VaR and Extreme Value Theory. Risk types. | Notes |
Week 4 | Systemic risk definitions, model risk, contagion, shocks, jumps and rare events | Posted papers |
Week 5 | Methods and measures of systemic risk: Financial networks | Posted papers |
Week 6 | Financial networks and systemic risk | Posted papers |
Week 7 | Statistical analysis of financial networks | Posted papers |
Week 8 | Banking systems network
Example: Mortgage data analysis |
Notes |
Week 9 | Agent-based modeling (ABM) | Posted papers |
Week 10 | Applications of ABM | |
Week 11 | Legal Entity Identifier, data standards and ACTUS | Notes |
Week 12 | Case study: rating agencies, banking systems, liquidity risk. | Notes |
Week 13 | Case study: Data standards | Notes |
Week 14 | Project discussion |