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FIN 362 Risk Management Source: Summer II 2011 Loop Section

Dr. C. Luft Email: cluft@depaul.edu Office Phone: 312-362-8428 Room: 6122 DPC Office Hours: Monday through Thursday 1:30 to 3:00 Or By Appointment

De Paul University Summer 2011

Text & Readings:

John C. Hull, Risk Management and Financial Institutions, 2nd edition, International Edition, Pearson Prentice Hall Publishers. ISBN: 978-0-13-610295-3

2010,

Lisa Meulbroeck, “A Senior Manager’s Guide to Integrated Risk Management,” Journal of Applied Corporate Finance, 14:4, Winter 2002, pp. 56-70. “Special Report on Financial Risk” Economist,February 13th, 2010.
http://eres.lib.depaul.edu/eres/coursepage.aspx?cid=4537 Password: fin562

depaul. Students will learn how the four basic derivative products: forward contracts. If an exam is missed. Both financial and nonfinancial firms will be considered when discussing the implementation of risk management programs. The first quiz will be worth 20% of the final grade. The class meetings are devoted to explanation and discussion of the risks and exposures that firms face. then a makeup examination may be taken at a later date as determined by me.edu/homehandbook. and the final examination 45% of the final grade. Students also will learn how firms mitigate these exposures in the long term via operating decisions. If such a request is approved by me. The quizzes and examination will consist of problems and essays and multiple choice questions.FIN 362 Risk Management Summer II 2011 Loop Section Course Objective: This course is designed to provide the student with a thorough exposure to the theory and practice of Risk Management. The remaining 5% of the grade will be determined by class participation. Assignments: It is expected that you will have completed the assigned readings and that you will be prepared for tests as scheduled.html. futures contracts. 2 . the second quiz will be worth 30% of the final grade. swaps and options are used to mitigate these exposures in the short term. and how to deal with them. Work done for this course must adhere to the University Academic Integrity Policy. which you can review in the Student Handbook or by visiting: http://studentaffairs. The risk management function has evolved beyond focusing solely on financial risk management and this course embraces a more holistic approach in order to provide a better understanding of the various risks that a firm faces and the methods that can be used to minimize risk and its effects on firm value. then a written request for an incomplete may be submitted. and a comprehensive final examination. Course Grade: The final grade will reflect performance on two short exams. This means that you are engaged in the class and not checking your cell phone or texting. A missed examination earns a score of zero.

futures. CDSs Securitization Assignment Hull: Chapter 1 Chapter 22 Articles: Meulbroeck Hull: Chapter 5 Articles: Meulbroeck Hull: Chapter 5.14 Hull: Chapter 8.14. responsibilities.FIN 362 Risk Management Summer II 2011 Loop Section Session 1 Week Monday July 18 5:45-9:00 Proposed Topics Overview of Risk Management Mechanism. 19 2 Wednesday July 20 5:45-9:00 3 4 5 Monday July 25 5:45-9:00 Wednesday July 27 5:45-9:00 Monday August 1 5:45-9:00 6 7 8 9 Option Pricing Models: Binomial Black & Scholes Quiz #1 20%: 1st hour Wednesday Measuring and managing risk August 3 5:45-9:00 exposures THE GREEKS Monday Interest Rate Risk August 8 5:45-9:00 Duration Credit Risk Wednesday Credit Risk August 10 5:45-9:00 Liquidity Risk Value at Risk Quiz #2 30% : 1st hour Monday Stress Testing August 15 5:45-9: 00 Scenario Analysis Model Risk Economist Articles on Risk Wednesday August 17 5:45-9:00 Final Examination 45% Hull: Chapter 17. 20 Articles: Economist 10 EXAM 3 . Swaps. and governance Risk & Return Risk management structure and policies Financial Instruments & Derivatives Forwards. 14 Hull: Chapter 16 Hull: Chapter 6 Appendix E & F Hull: Chapter 6 Hull: Chapter 7. Options.

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