Risk Management (MGMT 4370) - Fall 2008

Brief course description: Analysis and management of some nonspeculative risks in business, and management devices available for dealing with them. Insurance, the most important of these, is dealt with extensively. Intelligent employment of insurance makes possible the transfer of significant risks, at minimum and known cost. Self-insurance considered. Case studies are employed to demonstrate the principles and objectives of static risk management. Prerequisite: MGMT 2320. Spring term annually. 4 credit hours

Books (Recommended):

• The Essentials of Risk Management (Hardcover) by Michel Crouhy, Dan Galai, Robert Mark. Publisher: McGraw-Hill; 1st Edition (December 14, 2005), ISBN: 0071429662.
• Risk Management and Financial Institutions (Hardcover) by John C Hull. Publisher: Prentice Hall; 1st edition (June 10, 2006), ISBN-10: 0132397900, ISBN-13: 978-0132397902
• Principles of Risk Management and Insurance (Hardcover) by George E. Rejda. Publisher: Addison Wesley; 9th edition (July 14, 2004), ISBN: 0321236874.

Announcements :

• August 25: Welcome to Risk Management! Please bookmark this page and visit often to see announcements, get data, handouts, etc.
• September 9: The 4th Home assignment can be picked from the Handouts List below. It is due a week from today.
• September 29: The First Mid-term Exam is set for Oct 10, 2008 (Friday). All material covered until and including Oct 7th will be on the exam. The exam will be close-book, close-notes (electronic or physical), but a sheet of formulas will be provided. Do bring your CALCULATORS.
• October 7: The First Mid-term Exam on Oct 10, 2008 (Friday) will be close-book, close-notes (electronic or physical) exam. Keeping the constraints of the classroom in mind, we are not going to have Excel exercises on the exam. Please DO bring your CALCULATORS.
• November 24: Please send me your preferred time-slots for Project II presentations ASAP.
• November 30: The Second Exam on Dec 5, 2008 (Friday) will also be close-book, close-notes (electronic or physical) exam. Keeping the constraints of the classroom in mind, we are not going to have Excel exercises on the exam. Please DO bring your CALCULATORS.

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Handouts :

• Course information, Syllabus is handed out in class. Contact the instructor if you missed getting them.
• Lecture 1 Slides .
• Lecture 3 Slides .
• Fourth Home Assignment. Due on September 16, 08.
• Lecture 10 Slides - on VaR Methodology.
• Lecture 11 Slides - on Stress Testing.
• Class Activities Questions - Lecture 1 through Lecture 11.
• Lecture 12 Slides - on Retail Credit.
• Lecture 13 Slides - on Commercial Credit.
• Lecture 15 Slides.
• Lecture 16 Slides - on Credit VaR.
• Lecture 18 Slides - on Interest Rate Risk.
• Lecture 20 Slides - on Credit Derivatives.
• Lecture 22 Slides - on ALM.
• Lecture 24 Slides - on Insurance.
• Lecture 25 Slides - on Insurance - II.
• Class Activities Questions - Lecture 11 through Lecture 25.

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Interesting Links :

• RiskMetrics Group. Earlier at JP Morgan.
• Global Association of Risk Professionals.
• International Association of Financial Engineers.

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Last modified: Mon Nov 24 12:13:52 EST 2008