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AP/ADMS 4509

Financial Risk Management

3.0 credits

Fall 2026

Topics

  • Bond and interest-rate risk
  • Risk management with futures and options
  • Volatility, correlation and copulas
  • Value at risk and expected shortfall
  • Historical simulation and extreme-value methods
  • Default probabilities and credit risk
  • Stress testing, scenario analysis and operational risk
  • Financial innovation

Readings

  • Required: John C. Hull, Risk Management and Financial Institutions, 5th ed. (Wiley, 2018).
  • Supplementary: Philippe Jorion, Value at Risk: The New Benchmark for Managing Financial Risk, 3rd ed. (McGraw-Hill, 2007).
  • Supplementary: Philippe Jorion, Financial Risk Manager Handbook, 6th ed. (Wiley/GARP, 2011).
Sources