Cases in Financial Risk Management

Risk management systems are a fundamental tool in investment banks and hedge funds. The objective of this quantitative course is to give students a comprehensive view of such a system. The course covers topics related to market, credit and operational risks (time allowing). We learn about risk factors and how they are used to mark assets to market, build portfolio conditional loss distributions and back-test them to learn if our models are adequate. We also study in detail portfolio and derivatives credit risk. Theoretical classes are complemented with hands-on computational homework and a take home computational midterm exam.