IEORE4726 Applied Financial Risk Management


Instructor: Allan Malz


This course introduces risk management principles, with an emphasis on their practical implementation and application. It presents standard market, liquidity and credit risk measurement techniques, as well as their drawbacks and limitations. The course will convey much of the quantitative and technical material by working through calculation examples using market data and simple models. The example also introduce many sources of financial and statistical data, enabling students to better grasp the realities behind abstract financial concepts.

Students will understand risk management techniques from the viewpoint of practitioners, such as banks and other intermediaries. Many of these techniques have been adopted into financial regulatory standards. Especially since the crisis, regulatory standards have exerted great influence over firms’ risk management practices. The course will help understand this interaction, and the role of risk management in regulatory compliance.

Note: 
There is some overlap between the material covered in IEOR E4723: Introduction to the Contemporary Financial System and that covered in IEOR E4726: Applied Financial Risk Management. The Department strongly urges students who have already taken IEOR E4723 to take electives other than IEOR E4726 in the Spring semester. 



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