The Measurement and Management of Market Risk II

Catalog description

This course is a continuation of Finance 9852, The Measurement and Management of Market Risk I, and extends students' knowledge of the concepts and measures of market risk. From this foundation, students will learn how financial institutions actively use these models to manage risk, and how these techniques are tested and evaluated in practice. This course will also include an analysis of the implications of market risk for regulatory capital requirements. Specific topics include: estimation of value at risk for derivatives and fixed income securities with embedded optionality, and evaluations using techniques of stress testing, and Monte Carlo and scenario analyses.