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