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MSFI 432. Corporate Risk Management. 3 Units.

This is a risk management course aimed at developing an understanding of the risks faced by financial and nonfinancial firms, learning techniques to identify and measure these risks, and understanding how financial engineering (especially derivatives) can be used to manage these risks and advance the strategic goals of the firm. Main topics include Value-at-Risk (VaR) techniques and implementation of VaR systems (RiskMetrics, Delta-normal, Historical Simulation, Structured Monte-Carlo); financial risk measurement and management using forwards, futures, options, swaps, and exotics; and credit risk management, including implementing various credit risk and credit VaR models, estimating capital at risk, and using credit derivatives for managing credit risk. Several classes are devoted to discussing recent risk management debacles and relating them to theory. Prereq: For MSF-MSM and ACL-MSF students only.