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MATHEMATICAL RISK MANAGEMENT (MRM) COURSES
MRM 8320 Introduction to Stochastic Risk Management Models (3.0)
Prerequisite: AS 4120 and AS 4130, or Math 4751 and Math 4752, or MGS 9920. CSP: 1, 2, 7. |
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This course introduces stochastic models for risk management, broadly defined. The course has two main components. The first component covers single-period models including severity models, frequency models, compound distributions, and aggregate loss models. The second component covers multi–period models by introducing stochastic processes with emphasis on Markov chains, Poisson processes, and Brownian motion. Applications to insurance appear throughout the course. The second component adds applications to finance such as the Black/Scholes/Merton model and credit loss models. |
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MRM 8389 Directed Readings in Mathematical Risk Management (1.0 to 3.0)
Prerequisite: consent of the instructor, good academic standing. |
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MRM 8600 Theory of Risk Sharing (3.0)
Prerequisite: MBA 8130, MBA 8230. Corequisite: FI 8000. CSP 1, 2, 7. |
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This course provides a rigorous introduction to financial economics. The course is comprised of three main components. The first is the analysis of individual behavior under uncertainty and its implications for individual portfolio choice. The second component introduces students to the equilibrium approach to pricing determination in securities markets. The final section discusses the value of information in insurance and securities markets and investigates the impact of asymmetric information in these markets. |
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MRM 8610 Financial Engineering (3.0)
Prerequisite: MBA 8130, MBA 8230. Corequisite: FI 8000. CSP: 2. |
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This course introduces students to continuous-time financial models essential for the practice of mathematical risk management. It begins with a discussion of the fundamental mathematical tools from continuous-time stochastic processes including Ito's formula, change of measure, and martingales. This provides a framework for financial concepts including hedging, complete markets, and incomplete markets. The mathematical tools and financial concepts are applied to the risk management and valuation of financial derivatives based on stocks and bonds, separately, and insurance company liabilities with embedded financial options. The course concludes with a consideration of models that jointly value stocks, bonds and non-traded assets. |
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MRM 8620 Quantitative Financial Risk Models (3.0)
Prerequisite: MRM 8600, MRM 8610. CSP: 1, 2, 7. |
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This course introduces several risk management models designed to allow risk managers of financial institutions to measure and manage various sources of financial risk including market risk, interest-rate risk, and default risk, among others. Emphasis is on the development of "hands-on" experience which includes the calibration of models and discussion of the data issues faced in the application of these models. This course is intended for all students considering a career in quantitative risk management, whether in the insurance, banking, or non-financial sector. |
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MRM 8630 Stochastic Interest Rate and Credit Models (3.0)
Prerequisite: MRM 8600, 8610. CSP: 1, 2, 7. |
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This course provides a detailed study of pricing of interest rate securities based on stochastic term structure models. A review of stochastic calculus is given; short rate and Heath-Jarrow-Morton models are introduced, developed and compared; finally credit risky securities are studied. |
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MRM 8640E Special Topics in Mathematical Risk Measurement (3.0) *
Prerequisites: MRM 8600, MRM 8610, MRM 8620, Ability to program in SAS and Java or C++. If you do not have the stated prerequisites, you should consider dropping now and attempting this course only after you have satisfied them. |
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This seminar-style course allows for in-depth study of topics of special current significance in quantitative risk management. Examples of topics that could be covered include in-depth study of credit risk models, measuring and managing risk with non-linear dependencies, numerical methods used in quantitative finance and insurance risk management, operational risk management, capital allocation methods, etc. Emphasis is placed on readings from the professional literature, lectures, case studies, and group projects. The topic of each offering will be announced in advance, and students may take this course multiple times for course credit as different topics are offered.
The Spring 2006 course provides an in depth treatment of credit risk measurement and management including developing external and internal rating and scoring systems, and identifying the approaches to define and measure default risk (PD) and loss given default (LGD). The course covers the management of credit risks at the portfolio level as well as how credit derivatives and structured products (SPV's) are created, valued, and used. The course discusses the broader context of credit risk management in the economy and in the financial services industry in particular. Special emphasis is placed on student understanding of how credit risk management decisions are driven by the regulatory environment and the need to maintain regulatory and economic capital.
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| * Experimental Course |
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PO BOX 4036