Fordham University            The Jesuit University of New York
 


Financial Risk Management

Financial Risk Management

Courses Summary
Finance has always been based on expected return and risk. Given recent financial crises 
it is necessary minimize risk, while still making profitable investment decisions. CIPS Financial
Risk Management program provides students with the advanced techniques and concepts
of modern risk management in an increasing complex and risky global financial system. Students
must take a minimum of 16 credits, including five core courses and one seminar. Moreover,
graduates will be expected to take the FRM exam in the Fall following their graduation.
     
Classes will take place at Fordham’s
Westchester campus   Map and Directions

Fordham’s Financial Risk Management courses provide:
• A cohort model with a sequential course structure
• A problem-solving environment with real-life applications
• A comprehensive course structure to fit the needs of the industry
• A solid grounding in ethics and economics
• Collaboration with “Global Association of Risk Professionals”
• An excellent faculty that include industry experts and academic professionals


Curriculum
The Financial Risk Management Courses will consist of five core courses and one seminar
on Ethics. The suggested sequence is: 2 courses in the fall term (Economics of Risk Management
and Financial Econometrics for Risk Management), 2 courses in the spring term (Credit and
Operational Risk Management and Hedging and Derivatives) and 1 course in the summer term
(Risk and Regulation). The Ethics seminar will be ongoing throughout the year.  The five core
courses and the seminar are aimed to provide a solid framework for addressing issues in
financial risk management. The seminar on Ethics is fundamental is required for graduation.

Apply
application ** please see directions on application page for submitting your application**
contact fuga@fordham.edu with any problems or questions

Tuition & Fees
$20,000 for the entire program, texts and GARP - FRM fees

Courses
Economics of Risk Management
Credit and Operational Risk Management
Financial Econometrics for Risk Management
Hedging and Derivatives
Risk and Regulation
Ethical Dimensions of Financial Risk Management

Faculty
Michael Baur, JD, PhD
Jan Dash, PhD
Johanna Francis, PhD
Philippa Girling, LLB, FRM, Esq
Dessa Glasser, PhD
Satyajit S. Karnik, PhD
William May, MS
Joseph P. Quinlan, MA
Stephen B. Raymar, PhD
Erick W. Rengifo, PhD

For more information, please contact:
Dr. Erick Rengifo, Director
Dealy Hall E-513 (718) 817-4061
rengifomina@fordham.edu

Ethical Dimensions of Risk Management
This one-credit seminar will provide a critical, historically-informed introduction to
ethical theories and their relevance for financial risk management.  The seminar
will introduce students to the theoretical foundations and practical implications of
ethics-related concepts insofar as they are relevant to financial risk management,
for example: the notion of fiduciaries and fiduciary relationships; the concept of
agency and agent-principal relationships; moral duty in general, and the duty of
loyalty and duty of care in particular; conflicts of interest and self-dealing; and the
aims and limits of regulation.  Along the way, attention will be given to the various
meta-ethical theories that frequently underwrite ethical decision-making in the
context of financial risk management, including the meta-ethical theories of:
utilitarianism, contractarianism, deontology, and classical natural law and virtue
theory.  Students will also be introduced to key ethical and jurisprudential concepts,
such as: the distinction between the voluntary and the involuntary; the meaning
and scope of moral responsibility; the meaning and requirements of justice; and
the nature and justification of rights.  No prior acquaintance with philosophy or
ethical theory is assumed; the relevant concepts will be developed in class.  A
final paper will be required to show evidence of a student’s ability to apply the
concepts they have learn in class.  Professor
Baur Syllabus

Economics of Risk Management: This course serves as a solid introduction to
the basic building blocks of risk management. The financial and economic theories
underpinning modern risk management are reviewed with particular attention to utility theory
and the maximization of utility under uncertainty as \well as theories of interest and asset
pricing. Essential elements of probability and statistics are covered along with their
application to risk management techniques, including Monte Carlo simulations and VaR
(value at risk). The characteristics of key financial cash market and derivative instruments
and their markets – fixed income, equity, and currencies - are introduced.

Professors: Francis, Quinlan, Rengifo  Syllabus

Credit and Operational Risk Management: This course delves more
deeply into specific areas of credit and operational risk and risk management. Various
methods of measuring default risk – rom an actuarial as well as a market price
perspective – will be reviewed. Techniques for measuring credit and managing credit
risk exposure will be covered along with a treatment of credit derivatives and structured
credit products. Significant topics in operational risk and firm-wide risk management
will be covered in this course. This will include a discussion of risk capital, RAROC
(risk-adjusted return on capital), and an introduction to extreme-value theory.
\
Professors: Raymar    Syllabus

Financial Econometrics for Risk Management
This course reviews the essential econometric techniques used in risk management.
An introduction to multivariate statistics will be presented with emphasis in copula
theory. Single- and multi-variable regression will be covered along with methods for
identifying and handling the common problems that arise in their use, such as
auto-correlation and heteroscedasticity. Useful applications of regression analysis in
the context of risk management will be introduced including Logit and Probit models
used in default estimation as well as principal components analysis. The analysis of
time series and its use in risk management will be explored with particular attention
to ARCH (auto-regressive conditional heteroscedasticity) and GARCH (generalized
auto-regressive conditional heteroscedasticity) models and their use in the modeling
and forecasting of volatility. Professors: Rengifo, Karnik  Syllabus

Hedging and Derivatives
This course focuses on market risk; its sources and means for managing it. Tools
and techniques for hedging both linear and non-linear models are covered, including
through the use of options and other derivative instruments. Many of the skills learned
in the financial econometrics class will be applied here. Managing market risk in a
portfolio context will be explored including a discussion of techniques appropriate
for traditional (long only) portfolio management as well as more sophisticated (hedge
fund) environments. In addition, specialized topics may be introduced, including
mortgages and swaptions, the hedging of exotic options, and static option replication
techniques.   Professors: Raymar   Syllabus


Risk and Regulation
This course covers the significant features of the regulatory environment that are
most important to the risk management of financial institutions. An overview of the
structure of modern financial institutions and the markets in which they exist will
precede a review of the institutional regulatory framework in which they operate.
This will include a discussion of the important regulatory bodies, such as the
Federal Reserve, Office of the Comptroller of the Currency (OCC), Securities
and Exchange Commission (SEC), Financial Services Authority (FSA), and the
Bank for International Settlements (BIS). Major regulations and their implications
for risk management will be covered with particular attention to Basel II. In addition,
important accounting and tax-related issues will be reviewed, where applicable.
Professors: Girling, May   Syllabus


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