The course shows how forwards and futures, equity, interest rate, exchange rate and commodity options, plain vanilla and exotic swaps, and exotic options can be used to manage financial risks and how the risks of these derivatives can be evaluated. After a discussion of credit risks and credit derivatives, the course finishes with a review of implementation issues. The emphasis of the course is on risk management rather than on the technical details of pricing derivatives. The course deals with interest rate, exchange rate, commodity price, equity, and credit risks. Risk management problems for financial intermediaries as well as for firms outside the financial sector are examined.
Students learn how manage financial risks through lectures, exercises, and cases.
All cases are in the course packet. The VaR exercise will be given in class. Selected chapters of the textbook are in the course packet also. The chapters of the book that are not in the course packet are available on the course website. The Powerpoint slides for the lectures are available on the course website also prior to each class.