Identification
Subject
(code, title, credits)
Department
Program
(undergraduate,
graduate)
Term
Prerequisites
Language
Compulsory/Elective
Required textbooks and
course materials
Financial Risk Management
Economics and Business
Undergraduate – Bachelor of Business Administration (BBA) in
Finance
Spring 2013
Instructor
Orkhan Farzaliyev
E-mail:
o.farzaliyev@gmail.com
Phone:
050 669 15 55
Classroom/hours
Bashir Safaroglu 122 room#42, Thursday 18:30 – 21:00
Office hours
Upon request
Finance, Statistics, Mathematics
English
Compulsory
“Options, futures and other derivatives” John C. Hull – Book (1)
“Financial Institutions and Management: A risk management approach” –
Anthony Saunders and Marcia Millon Cornett – Book (2)
“Probability for dummies” – Deborah Rumsey – Book (3)
Course website
Course outline
Course objectives
Learning outcomes
Teaching methods
Evaluation
The course will briefly review probability distributions and will continue to apply those
statistical tools on valuation of a range of financial derivatives. Second part of the course will
introduce types of risk that financial institutions will face and the way to measure and hedge
those risks.
Probability tools used in Financial Risk Management
Derivatives
Measures and hedges of risks associated with day-to-day business of financial institutions.
Risks faced by corporations (mainly financial institutions). Measures for those risks. Financial
tools that are used to minimize those risks.
X
Lecture
Group discussion
Experiential exercise
X
Case analysis
Simulation
Course paper
X
Others
Methods
Date/deadlines
Percentage (%)
25
Midterm Exam
Case studies
10
Class Participation
20
Assignment and quizzes
Project
Presentation/Group
Discussion
40
Final Exam
5
Others (Attendance)
100
Total
Week
Policy
Date/Day
(tentative)
1
2
14/02/2013
21/02/2013
Tentative Schedule
Topics
Introduction to Financial Risk Management
Fundamental of Probability
Textbook/Assignments
Chapter (7), Book (2)
Page 9 – 187 , Book (3)
3
4
5
6
7
8
9
10
28/02/2013
07/03/2013
14/03/2013
21/03/2013
28/03/2013
Important distribution Functions
Derivative – Futures and Forwards/ Quiz 1
Derivatives – Options 1
Derivatives – Options 2
Derivatives – Swaps/ Quiz 2
Midterm Exam
11/04/2013
18/04/2013
Derivatives – Credit derivatives
Market Risk Management
11
12
13
14
15
25/04/2013
02/05/2013
09/05/2013
16/05/2013
Measuring Market Risk (VaR models)/ Quiz 3
Credit Risk
Liquidity Risk
Examples of wrong use of derivatives/Quiz 4
Final Exam
Chapter 2, and 3 – Book (1)
Chapter 8,9 – Book (1)
Chapter 10 – Book (1)
Chapter 7- Book (1)
Chapter 22,23 – Book (1)
Pages 191 – 195
Pages 221 – 238
Chapter 14
Lecture Slide on Equity risk
Chapter 20 – Book (1)
Chapter 11 – Book (2)
Chapter 17 – Book (2)
Chapter 34 – Book (1)