CFRM 545 Financial Risk Management I

This introductory risk management course covers the methodologies used to manage financial risk. Emphasis is given to fixed income and foreign exchange derivatives. The topics covered include:

  • An overview of fixed income products
  • Duration and convexity and risk management of fixed income portfolios
  • Black and Scholes model. Hedging and trading parameters
  • Pricing options and swaps
  • Introduction to term structure models
  • Introduction to credit derivatives
  • Introduction to mortgage-backed securities and asset-backed securities
  • Introduction to hedge fund strategies and risk management

 

Instructor: 
Mark Everitt (Blackrock) and John McMurray (Russell Investments)
Textbooks: 
Assigned readings.
Software: 
Microsoft Excel
Prerequisites: 
CFRM 541 Investment Science or equivalents, or by permission.
Credits: 
4