Risk Management

DROMB8116 Risk Management


Instructor: Prof. Evan Picoult

Course Description
This is an MBA level course on Risk Management for financial institutions.  The quantitative level is commensurate with that and presumes a working knowledge of basic probability and statistics.  

Although the course has no pre-requisites or co-requisites, students are expected to have taken the equivalent of a basic course in capital markets.  Thus, students are expected to have a basic, common-sense understanding of yield curves, credit spreads, bond math and the essential characteristics of options.  

Although all the major types of financial risk will be reviewed, the primary focus of the course will be on the measurement, management, mitigation and interrelationship of market, credit, and liquidity risk.   

Risk management is an art and a science.  It requires an understanding of markets, products, processes and systems, law and regulation, as well as quantitative methods.  It also requires an examination and understanding of the causes and consequences of the systemic financial crisis and large financial losses that have occurred in the past.  Although our focus will be on quantitative methodologies, these other subjects are a crucial part of the context for understanding financial risk.

The course will be a mixture of theory and practice, with a focus on how large banks actually measure, limit, and manage their financial risks.