ASRM 598. Literature Seminar
Determination of course hours: The number of hours depends on the amount of work required to complete satisfactory work to succeed in the literature seminar.
Student Learning Outcomes
1. Students will gain a deep understanding of the actuarial topic.
2. Students will learn to discuss advanced actuarial topics in a group setting.
Text: John C. Hull (2015), Risk Management and Financial Institutions, 4th Edition, Wiley.
Course topics: Models and regulatory frameworks on market, credit and operational risks in the financial market.
Students will be required to report regularly to the instructor. The oral or written reports should detail the projects the student worked on and what was learned since last meeting. Assessment will be based on students’ demonstrating understanding of the material.
PART ONE : FINANCIAL INSTITUTIONS AND THEIR TRADING (10 hours)
Chapter 2: Banks
Chapter 3: Insurance Companies and Pension Plans
Chapter 4: Mutual Funds and Hedge Funds
Chapter 5: Trading in Financial Markets
Chapter 6: The Credit Crisis of 2007
Chapter 7: Valuation and Scenario Analysis: The Risk-Neutral and Real Worlds
PART TWO : MARKET RISK (8 hours)
Chapter 8: How Traders Manage Their Risks
Chapter 9: Interest Rate Risk
Chapter 10: Volatility
Chapter 11: Correlations and Copulas
Chapter 12: Value at Risk and Expected Shortfall
Chapter 13: Historical Simulation and Extreme Value Theory
Chapter 14: Model-Building Approach
PART THREE : REGULATION (5 hours)
Chapter 15: Basel I, Basel II, and Solvency II
Chapter 16: Basel II.5, Basel III, and Other Post-Crisis Changes
Chapter 17: Fundamental Review of the Trading Book
PART FOUR : CREDIT RISK (8 hours)
Chapter 18: Managing Credit Risk: Margin, OTC Markets, and CCPs
Chapter 19: Estimating Default Probabilities
Chapter 20: CVA and DVA
Chapter 21: Credit Value at Risk
PART FIVE : OTHER TOPICS (12 hours)
Chapter 22: Scenario Analysis and Stress Testing
Chapter 23: Operational Risk
Chapter 24: Liquidity Risk
Chapter 25: Model Risk
Chapter 26: Economic Capital and RAROC
Chapter 27: Enterprise Risk Management
Chapter 28: Risk Management Mistakes to Avoid
Total: 43 hours