Carnegie Mellon University

Risk Management II

Professor: Steven Shreve

Department: Math

Course Number: 46955

Description: This course will cover in detail several risk management topics that have become indispensable since the financial crisis. These include the concepts Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA) and Funding Valuation Adjustment (FVA) for pricing over-the-counter trades. Also included will be a discussion of economic and regulatory capital. The distinguishing feature of the course is that these quantities will be computed for a simple portfolio using Monte Carlo simulation in a reasonably realistic model. Some material will be presented by senior practitioners.

Text: L.Andersen and V.Piterbarg, “Interest Rate Modeling.” 

Prerequisites: 46932, 46945