SYLLABUS (Tentative)
Identification
Prerequisites
Language
Compulsory/Elect
ive
Text books and
course materials
Department
Economics and Management
Bachelor of Business Administration (BBA) in
Program
Finance
Subject
FIN 465: Financial Risk Management (3 credits)
Term
Spring, 2012
Instructor
Elvin Mirzayev, mirzayev.e@gmail.com
Classroom/hours
Bashir Safaroglu 122, room 21, 18:30 – 21:00
Students are expected to have background in Finance and statistics.
English
Compulsory
1. “Managing Credit Risk” 2nd edition, John B. Caouette, Edward I. Altman,
Paul Narayanan, Robert Nimmo, (MCR)
2. “Financial Risk Management” 2011, Allan M. Malz
3. “The Professional Handbook of Financial Risk Management”, edited by Marc
Lore and Lev Borodovsky
4. “Options, Futures and Other Derivatives” 7th edition, J. Hull
Case analysis
Group discussion
Lab
Lecture
Evaluation
Criteria
X
Methods
Date/deadlines
Weights
(%)
30
Midterm Exam
Case studies
Class Participation
Course objectives
Course outline
1
2
Date/Day
(tentative)
31.01.15
07.02.15
3
4
5
6
7
14.02.15
21.02.15
28.02.15
07.03.15
14.03.15
Week
Quizzes
10
Project
30
Presentation
Laboratory Work
Final Exam
30
Total
100
The course objective is to give students an overview of Financial Risk management
and basic skills of handling risk management tools such as derivatives.
The course reviews briefly probability distribution and continues with derivatives
which are tools for Financial Risk Management. Different types of Financial Risks and
Management of these risks are covered.
Tentative Schedule
Topics
(1) Fundamentals of probability
(2) Important Probability Distribution Functions –
Normal, Log-Normal, Uniform Distributions
(4) Options, Option Greeks
(5) Futures and forwards
(7) Swaps and Credit derivatives / Quiz 1
(8) Market Risk Management
(9) Value at Risk
Textbooks
Teacher’s scripts
Teacher’s scripts
Ch 1 pp. 16-41(Lore)
Ch 2 (also 1.3; 1.4) (Hull)
Ch 7 (Hull)
Ch 3 (Hull)
Ch 3 (Malz)
8
9
10
11
21.03.15
28.03.15
04.04.15
11.04.15
12
18.04.15
13
25.04.15
14
02.05.15
Novruz Holiday
Mid Term exam /(9) Valuaiton of Derivatives
(10) VaR for Market Risk
(11) Credit Risk Models Based upon Accounting
Data and Market Values
(12) Corporate Credit Risk Models Based on
Stock Price
(13) Liquidity Risk and Operational risk
Management, Basel III / Quiz 2
(14) Scenario Analysis and Stress Testing
Final Exam
Teacher scripts
Ch 5 (Malz)
Ch 10 (Caouette)
Ch 11 (Caouette)
Ch 12 (Malz)
Ch 13.3 (Malz)