Course Page

Risk Management II

Course Number:

46955


Faculty

Steven Shreve, shreve@andrew.cmu.edu


Program

MSCF


Course Description

This course will cover in detail several risk management topics that have
become indispensible since the financial crisis. These include the concept
and calculation of Credit Valuation Adjustment (CVA), Debit Valuation
Adjustment (DVA), Funding Valuation Adjustment (FVA), and
collateralization/margining. Also included will be a discussion of
economic and regulatory capital. Some material will be presented by senior
practitioners. Reference text: D. Brigo, M. Morini and A. Pallavicini,
"Counterparty Credit Risk, Collateral and Funding." Prerequisite:
Stochastic Calculus II. Co-requisite: Risk Management I.

Format

Lecture: 100min/wk and Recitation: 50min/wk


Pre-requisites

None