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April 2013

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Subject:
STAT 689: Financial Risk Management
From:
Linda J Davis <[log in to unmask]>
Reply To:
Linda J Davis <[log in to unmask]>
Date:
Mon, 22 Apr 2013 21:40:58 +0000
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FYI.  Dr. Vidyashankar is teaching a special topics course this Fall.  Here is some information you might find useful.

Course: Financial Risk Management

Text Book: Risk and Portfolio Analysis by Hult, Lindskog, Hammarlid, and Rehn. Publisher Springer

Prerequisite:  STAT 346.

The course will begin by describing the basics of financial risk management. Concepts relating to Interest rates and financial derivatives, hedging principles, investment principles will be developed. Concepts involving to utility based methods and risk measures will be introduced and emphasized. Convex optimization methods will also be introduced and integrated with risk management ideas.

Statistical methods including parametric and non-parametric methods and empirical methods will be developed. R/SAS will be used for programming. The course will be self-contained.

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