Carnegie Mellon University

Risk Management I

Professor: John P. Lehoczky

Department: Statistics

Course Number: 46954

Description: This course will present a basic treatment of two important dimensions of risk management: market risk and credit risk. It will cover basic topics such as the regulatory environment and BASEL accords; risk measures including value-at-risk and shortfall risk and approximations for these risk measures; coherent risk measures; and extreme value distributions leading to the generalized Pareto distribution. Simulaiton methods will be developed to efficiently calculate the risk associated with a portfolio of derivative securities, a portfolio of defaultable bonds, and nested simulations needed to perform stress tests or assess risk over longer time periods. The course will also address important aspects of credit risk including the pricing of credit derivatives such as CDS and CDO, counterparty credit risk and Credit Valuation Adjustment (CVA). Senior risk management practitioners will present some material.  

Prerequisites: 46932, 46944