NBA 5500

NBA 5500

Course information provided by the Courses of Study 2015-2016.

Risk management describes the science of managing the risk of a firm's or individual's balance sheet. To present this science, first the relevant traded securities, including derivatives, are reviewed. Second, the relevant risks are discussed: market, credit, liquidity, and operational. Third, theoretically optimal risk management procedures are studied. Although infeasible in practice, these provide the conceptual foundation for practical risk management methodologies. Fourth, the practical risk management methodologies are presented including dynamic hedging, super- and sub- replication, and static hedging. Last, this science is applied via class projects and presentations to major risk management failures including Long Term Capital Management, the 2007 credit crisis, Barings bank, and Metallgesellschaft, among others.  

When Offered Fall.

Prerequisites/Corequisites Prerequisite: NBA 6730 or equivilent.

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Enrollment Information
Syllabi: none
  •   Regular Academic Session. 

  • 3 Credits Opt NoAud

  • 16533NBA 5500  LEC 001

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  • ** S/U or Letter Grade Only - NO AUDITS ALLOWED ** Deadline to Change Grading Option: Friday, October 9th (4:00pm) Add/Drop Dates: Johnson Students: August 10th at 8:00am to September 8th at 4:00pm. Non-Johnson Students: September 1st at 8:00am to September 8th at 4:00pm. You may add or drop a full semester class after September 8th with permission of the faculty. A late fee of $100.00 will be charged for each add or drop transaction. If you are dropping after October 9th you will also receive a "W" on your transcript in addition to the late fees. Non-Johnson students may add themselves to the waitlists during their enrollment periods, however Johnson Students have priority into the classes and non-Johnsons will be enrolled: 1) IF seats are still available after Johnson students complete their enrollment period and 2) IF the instructor allows.