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Course Offerings

Course Evaluation Results

Course Details

Fall 2018-2019
ORF 435   na, npdf

Financial Risk Management

John M. Mulvey

This course covers the basic concepts of modeling, measuring and managing financial risks. Topics include portfolio optimization in the mean-variance and expected utility sense, interest rate risk, credit risk, risk measures, systemic risk. Algorithms from machine learning are introduced and linked to the stochastic planning models.

Sample reading list:
Luenberger, D.G., Investment Science, 2nd Edition

Reading/Writing assignments:
30-40 pages

Requirements/Grading:
Mid Term Exam - 20%
Final Exam - 30%
Programming Assignments - 15%
Term Paper(s) - 15%
Class/Precept Participation - 5%
Problem set(s) - 15%

Other Requirements:
Statistical, design or other software use required
Open to Juniors and Seniors Only.

Prerequisites and Restrictions:
ORF 245, ORF 335 or ECO 465 (concurrent enrollment okay) or instructor's permission required.

Schedule/Classroom assignment:

Class numberSectionTimeDaysRoomEnrollmentStatus
20470 L01 11:00:00 am - 12:20:00 pm T Th   Sherrerd Hall   101   Enrolled:22 Limit:20 Closed