Managing Financial Risk

2 Credits
BU.230.730.83
Tuesday 1:30 p.m. – 4:30 p.m.
From 3/24/2015 to 5/12/2015

Semester: Spring-2
Class Location: 203/204 (Harbor East)
Instructor
Nicola Fusari
Contact Information
Phone Number: (410) 234-9411
E-mail Address: nicola.fusari@jhu.edu
Office Hours
Baltimore: Wednesday 9:00 a.m. -12:00 p.m. (appointment only)
Required Text and Learning Materials:
Christoffersen P. F. (2012), Elements of Financial Risk Management, 2nd Edition, Elsevier.
This is a technical book, but very well written and easily accessible. It analyzes the state of the art techniques currently employed to manage market risk. It comes with several empirical examples along with their solutions (available on the companion web-site http://www.elsevierdirect.com/companions/9780123744487).

Lecture notes will be posted on Blackboard (likely every Monday) before class

Suggested reading:
Hull J. C. (2012), Risk Management and Financial Institutions, 3rd Edition, Wiley.
This book is from one of the leading experts in risk management and derivatives. It provides a clear and detailed description of the main aspects of financial risk. It is a standard reference both for academics and practitioners.

Blackboard Site:
A Blackboard course site is set up for this course. Each student is expected to check the site throughout the semester, as Blackboard will be the primary venue for outside classroom communications between the instructors and the students. Students can access the course site at https://blackboard.jhu.edu. Support for Blackboard is available at 1-866-669-6138.
Course Evaluation:
As a research and learning community, the Carey Business School is committed to continuous improvement. The faculty strongly encourages students to provide complete and honest feedback for this course. Please take this activity seriously because we depend on your feedback to help us improve so you and your colleagues will benefit. Information on how to complete the evaluation will be provided towards the end of the course.
Disability Services:
Johns Hopkins University and the Carey Business School are committed to making all academic programs, support services, and facilities accessible. To determine eligibility for accommodations, please contact the Carey Disability Services Office at time of admission and allow at least four weeks prior to the beginning of the first class meeting. Students should contact Priscilla Mint in the Disability Services office by phone at 410-234-9243, by fax at 443-529-1552, or e-mail: carey.disability@jhu.edu.
Important Academic Policies and Services:
Honor Code
Statement of Diversity and Inclusion
Student Success Center
Inclement Weather Policy
Students are strongly encouraged to consult the Johns Hopkins Carey Business School Student Handbook and Academic Catalog and the School website http://carey.jhu.edu/students/student-resources/university-and-school-policies/ for detailed information regarding the above items.
Course Description:
This course aims to provide you with a clear understanding of the main issues in modern risk management. It provides both theoretical and practical descriptions of the main techniques used by companies and financial institutions to reduce their exposure to various type of risks; such as market risk and credit risk.
Course Overview:
In the last decades the globalization of markets has exposed companies to new risks. At the same time, we have witnessed a growing sophistication in the financial markets. New and complex financial products are constantly introduced.
In this course you will learn how to quantify and control risk-exposure using a variety of techniques and instruments.
The course balances theory and applications. It is divided into four main parts:
Part 1:
a) Statistical introduction: Ordinary Least Square (OLS) and ARMA models
b) Returns and Volatility
c) GARCH models
d) Realized Volatility

Part 2:
a) Value at Risk (VaR)
b) Expected Shortfall (ES)
c)