Description
Prerequisite: FIN 5305
3 lecture hours
This course introduces students to the current debate concerning the
appropriate level of volatility management for firms, before briefly
describing the main tools available for financial risk management and
the types of risks associated with these instruments. We shall then focus
in detail on risk management for financial firms, in particular commercial
and investment banks. This unit includes a discussion of the regulatory
requirements for capital adequacy and the recent developments in the area
of Value at Risk (VAR), in particular the use of J.P. Morgan???s Risk Metrics and
Credit Metrics, and more generally the trend towards the use of internal
models for risk management.