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LECTURE 1: INTRODUCTION
Introduction to financial risk management (FRM)[Book Chapter], Why FRM, risk management dimensions, ways in which risk-management can be conducted [Book Chapter] , Class Slides [ Download ]
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LECTURE 2: 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
Hedging with Derivative Contracts [ Slides ]
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LECTURE 4: HEDGING
Hedging with Option contracts, Finding option premium with Black Scholes + Metallgesselschaft Case [ Slides ]
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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 ]
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LECTURE 6: Orang County Case Study
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LECTURE 7: Volatility
Download : Definition of volatility, types of volatility, weighted and unweighted measures of volatility, GARCH(1,1) and EWMA methods, exercise on how find volatility with software like STATA LECTURE 9: Portfolio Theory with Matrix Algebra + Handouts+ Variance-Covariance Calculator [ Download ] + Practice Sheet + Video on how to find find portfolio risk with matrix [ download ]
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LECTURE 8-11: Market Risk
Download: Var, Stress Testing, Back Testing [Book Chapter] [ Slides] + Historical Simulation Exercise [Downolad]
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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
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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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