Zahid Rahman (National College of Sciences Peshawar)

Lecture 1- Part 1.pdf Lecture 1- Part 1.pdf
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Lecture 1- Part 2.pdf Lecture 1- Part 2.pdf
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CAPM.pdf CAPM.pdf
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Lectur 1 RISK.pdf Lectur 1 RISK.pdf
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CAPITAL ASSET PRICING MODEL.doc CAPITAL ASSET PRICING MODEL.doc
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Lecture 1- Part 2.ppt Lecture 1- Part 2.ppt
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Lecture 1.ppt Lecture 1.ppt
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Efficient Frontier Lecture 4.docx Efficient Frontier Lecture 4.docx
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CAPITAL ASSET PRICING MODEL(CAPM).ppt CAPITAL ASSET PRICING MODEL(CAPM).ppt
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ADVANTAGES OF THE CAPM.doc ADVANTAGES OF THE CAPM.doc
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Lecture4-CapitalAssetPricingModels.pdf Lecture4-CapitalAssetPricingModels.pdf
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derivative securities.pdf derivative securities.pdf
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Lecture  9.doc Lecture 9.doc
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Black-Scholes Lec 9.xls Black-Scholes Lec 9.xls
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Lecture  10.doc Lecture 10.doc
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Lecture 11 Market risk.doc Lecture 11 Market risk.doc
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Volatility  lec 10.xls Volatility lec 10.xls
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Chapter 2 Market risk.pdf Chapter 2 Market risk.pdf
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markewt risk lec 11 part 2.doc markewt risk lec 11 part 2.doc
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Var - Parametric Approach b.xls Var - Parametric Approach b.xls
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Stess Testing Lecture 12.doc Stess Testing Lecture 12.doc
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Lectur 13 Liquidity Risk.doc Lectur 13 Liquidity Risk.doc
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financial risk management

 Summary

 This course will focus on variety of risks faced by financial managers and the tools available for managing these risks. Particularly, we shall focus on credit risk, interest rate and liquidity risks, market risk, foreign exchange risk, and country risk. We shall learn about the tools and techniques available for managing these risks such as future contracts, option contracts, swaps, value-at-risk (VaR) and other standard risk-hedging techniques, and methods of measuring volatility. Students attending this course are expected to have studied basic courses of investment and portfolio management and have good understanding of asset pricing models.    

 Course Books

 There is no single book that will cover all the topics included in this course. Selected chapters from the following books will be covered in the course. Also, additional reading materials will be made available at the website of the course: http://zahidrehman.yolasite.com (remember do not include the prefix www to the website address

 Hull, John C., 2007, Risk Management and Financial Institutions (RMFI), Prentice-Hall.

Hull, John C., 2006, Options, Futures, and Other Derivatives [OFOD], Prentice-Hall (sixth edition).
Ross, Stephen A., Westerfield, Randolph W., Jaffe, Jeffery F., & Roberts, Gordon S., Corporate Finance, Any Edition, McGraw Hill Ryerson, 1999. [Referred to below as “RWJR”]
Risk Management and Derivative by Rene Stulz, second edition

 Course outline and readings

 1.      Introduction: motivation for risk management, Why risk management, creating value with risk management, Find risk and return for an asset and portfolio

 2.      Financial engineering: derivatives (forwards, futures, swaps, basic and exotic options) and standard hedging techniques

    3.      Measuring volatility: EWMA and GARCH models, implied and realized volatility.

4.      Market risk: VaR (value at risk) measurement (RiskMetrics, historical, and Monte Carlo approaches), back-testing, stress testing, alternative risk measures

 5.      Liquidity risk

 6.      Credit risk: Merton model, modern structural and reduced-form models, credit derivatives

 

 

 

A big Collection of Books on Financial Risk Management

Follow this link and find the books of yours interest.
 

LECTURE 15.doc LECTURE 15.doc
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LECTURE 16.doc LECTURE 16.doc
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CAPM.xls CAPM.xls
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Basel Committee Report II.pdf Basel Committee Report II.pdf
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Copy of Book1.xls Copy of Book1.xls
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Black schol model.doc Black schol model.doc
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Altman Z.doc Altman Z.doc
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Toolkit.doc Toolkit.doc
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Type : doc
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