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MA686I: Quantitative Financial Risk Management (Fall 2018)

Calendar Description

This course will introduce students to a variety of topics in risk management. The defining feature of this course is that it will cover topics that are not typically covered in the traditional mathematical finance curriculum. As such it will be an important differentiator for the program. Topics might include (but will not necessarily be limited to) some of the following:

● Introduction to risk measures such as value at risk (VaR), conditional tail expectation and expected shortfall.
● Introduction to credit scoring.
● Introduction to economic and regulatory capital modelling, especially as it relates to compliance with Basel III.
● Advanced treatment of hedging derivatives portfolios.
● Introduction to credit risk models such as the Merton and/or Black-Cox models, as well as linear factor models and alternative models of dependence (e.g. copulate).

Prerequisites

Permission of instructor.

Exclusions

MA477.

Instructor

Professor Mark Reesor (PhD)
Office: LH3049 (Lazaridis Hall)
Office Hours: Tuesday 11 a.m. - noon, Thursday 1 p.m. - 2 p.m., or by appointment.
E: mreesor@wlu.ca
Telephone: x3247

Lectures

Tuesday and Thursday 8:30 a.m. - 9:50 a.m. in BA112 (Bricker Academic Building)
Two additional lecture hours, schedule to be determined.

Textbook

John C. Hull. Risk Management and Financial Institutions, 5th Edition. Wiley, 2018.

Calculators

Students may use a non-programmable, non-graphing calculator on course tests and the final examination.

MyLearningSpace

Materials related to this course and the full course outline will be posted on the MA686I MyLearningSpace website. You are responsible for checking here on a regular basis for important announcements.

Evaluation

A final mark out of 100 will be calculated as follows:

  • Assignments: 35%
  • Midterm Test (Thursday, Oct. 18, during lecture time, location to be determined): 25%
  • Final Exam (2.5 hours, exact date, time and location to be announced): 40%

Students must achieve a score of at least 40% of the marks available on the final examination to be eligible to pass the course. The final mark will be reported as a letter grade in accordance with the conversion table of the current undergraduate calendar.

This document is a summary of the course outline for MA686I and is provided for the convenience of students.