Course Descriptions
Financial Risk
Measurement and Management ( 2 units )
This course examines financial risk measurement and management,
including market risk, credit risk, liquidity risk, settlement
risk, model risk, volatility risk, kurtosis risk and other
types of financial risks. It includes risk measurement techniques
for different types of contracts and portfolios (equity,
fixed income, currency) such as duration, portfolio Beta,
factor sensitivities, Value at Risk™, dynamic portfolio
distribution analysis and extreme value analysis. It also
includes risk management techniques for different types
of problems such as trading desk risk management, total
portfolio market exposure limits, counterpart credit exposure
limits, and funding liquidity exposure limits.
