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LECTURES: FINANCIAL RISK MANAGEMENT
LECTURE 1: INTRODUCTION TO FINANCIAL RISK MANAGEMENT
1. Introduction to financial risk management (FRM)[Book Chapter]
2. Risk and Return, Risk Irrelevance Proposition, Chapter 2 by Rene Stulz [Download]
3. Why FRM, risk management dimensions, ways in which risk-management can be conducted [Book Chapter]
4. Class Slides [ Download ]
5. An example of Tax shield benefit of debt finance [Download]
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LECTURE 2: INTRODUCTION TO DERIVATIVES
Derivative products, forwards, futures and options, examples on how to use these tools[Slides ] Book on Derivative by John C Hull [Download], Exercise on Derivatives]
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LECTURE 3: HEDGING RISK WITH DERIVATIVE PRODUCTS
Hedging with Derivative Contracts [ Slides ]
Example of Hedge ratio, profit and loss on long and short poistions [ Download ]
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LECTURE 4: HEDGING WITH FUTURES AND OPTIONS
Hedging with Option contracts, Finding option premium with Black Scholes + Metallgesselschaft Case [ Slides ] [Excel Worksheet to find value of Call Option with Black Scholes Option Formula [Download]
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LECTURE 5: DURATION ANALYSIS
Interest rate risk, duration analysis, impact of duration on values of financial assets and liabilities, how to hedge interest rate risk using duration analysis [ Slides ]; an excellent tutorial on bonds and duration [ download ]; and a book chapter on duration analysis [ download ]; How to hedge bond portfolio through immunization, by Gushee [ download ] ; An exercise on duration hedging [download ] [Excel Spreadsheet to calculate Macaulay duration, $duration, and modified duration.xlsx Download]
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LECTURE 6: Orange County Case Study
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LECTURE 7: Volatility
1. Lecture Slides Definition of volatility, types of volatility, weighted and unweighted measures of volatility, GARCH(1,1) and EWMA methods Download :
2. Exercise on how find volatility with software like STATA Excel Exercise on EWMA],
3. Lecture Slides: Portfolio Theory with Matrix Algebra + Handouts
4.Variance-Covariance Calculator [ Download ] + Practice Sheet
5.Video on how to find find portfolio risk with matrix [ download ]
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LECTURE 8-11: Market Risk
1. Lecture Slides Download:
2. Var, Stress Testing, Back Testing [Book Chapter] [ Slides]
3. Historical Simulation Exercise [Downolad]
4. Portfolio VaR and Monte Carlo Simulation for Value at Risk Slides Download
5. Calculation of Delt Normal VaR )Parametric in Excel [Download]
6. Monte Carlo Simulation for VaR in Excel Download
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LECTURE 12: Credit Risk
Download: Introduction to Credit Risk, Credit Risk Models: Expert Systems, Credit Scoring Models, Neural Networks, Basel II and Credit Risk
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LECTURE 13: Credit Risk II
Download: Credit Risk Part II: Probability of Default from actuarial data and market price, credit ratings and recovery rates, Credit Derivative: Credit Default Swaps, Total Return Swaps, Credit Default Option
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LECTURE 14: Operational Risk
Download: Operational Risk, definition and capital charge under Basel II
SBP collections of helpful materials on operational risk and other risk Access Here
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LECTURE 15: Operational Risk
Download: Research paper by Jhon C Hull on The Credit Crunch of 2007: What Went Wrong? Why? What Lessons Can Be Learned?
[One more paper [download ]
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