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Courses - Fall 2023
BUFN
Finance Department Site
BUFN747
Asset-Liability and Nonfinancial Risk Management
Credits: 2
Grad Meth: Reg
Prerequisite: BUSI640; and BUFN740.
Restriction: Must be in Business and Management (Master's) program; or permission of BMGT-Robert H. Smith School of Business.
This course surveys risks and techniques associated with asset-liability and nonfinancial risks including market and interest rate risk, liquidity risk, operational risk and model risk, among others. Techniques such as portfolio value-at-risk (VaR) are used in realistic empirical examples to illustrate the methods. Key rate duration, principal components analysis and analytical and simulation-based VaR techniques are used to estimate interest rate risk exposure for financial firms. Hedging these risks using various financial derivative products such as options, swaps and futures contracts is explored. Operational risk is estimated leveraging Poisson loss distributions and model risk and validation techniques are reviewed.