Risk Management is a course that explores the meaning, measurement, and management of financial market risk. The expected utility model will be developed to explore the effect of different attitudes toward risk. Management of financial market risk through the use of derivative securities will be examined in detail. Topics such as liquidity risk management, credit risk management, and value at risk will also be examined.
- Definition of risk.
- Measurement of risk.
- Attitudes toward risk.
- The nature of financial market risk.
- The use of forwards, futures, swaps, and options to manage financial market risk.
- Liquidity risk management.
- Credit risk management.
- Value at risk.
Methods Of Instruction
Material will be presented within a lecture format.
Means of Assessment
Minimum of 3 evaluations, none of which will exceed 40%, for a total of 100%.
At the end of the course, the successful student should be able to:
- analyze and interpret the meaning of risk;
- determine the implications of different attitudes toward risk;
- analyze the use of derivative securities in managing financial market risk;
- analyze issues in liquidity and credit risk management;
- analyze and understand the concept of value at risk.
Textbooks and Materials to be Purchased by Students
To be chosen from by the instructor:
- Allen, Steven. Financial Risk Management, Latest Edition. John Wiley & Sons, Inc.
- Poitas, Geoffrey. Risk Management, Speculation, and Derivative Securities, Latest Edition. Academic Press.