📊
UW M.S. Computational Finance & Risk Management
  • 🎓Master of Science in Computational Finance & Risk Management
  • 📈RESEARCH
    • 🎓Graduate Thesis
  • 🏙️Outside the Classroom
    • 🏢Parametric Fellowship
    • 🖥️Algorithmic Trading @ University of Washington
    • ⚖️Graduate and Professional Student Senate
    • 🛩️Husky Flying Club
    • 🖥️IMC Prosperity
  • 📈First Quarter
    • 1️⃣CFRM 501: Investment Science
    • 1️⃣CFRM 504: Options & Other Derivatives
    • 1️⃣CFRM 506: Financial Data Analysis
  • 📈Second Quarter
    • 2️⃣CFRM 502: Financial Data Science
    • 2️⃣CFRM 505: Monte Carlo Methods in FInance
    • 2️⃣CFRM 540: Risk in Financial Institutions
  • 📈Third Quarter
    • 3️⃣CFRM 503: Asset Allocation & Portfolio Management
    • 3️⃣CFRM 509: Ethics in the Finance Profession
    • 3️⃣CFRM 521: Machine Learning in Finance
    • 3️⃣CFRM 523: Advanced Trading Systems
    • 3️⃣CFRM 532: Endowment & Institutional Investment Management
  • 📈FOURTH QUARTER
    • 4️⃣CFRM 542: Credit Risk Management
  • 🖼️Gallery
  • Website
Powered by GitBook
On this page
  1. Second Quarter

CFRM 540: Risk in Financial Institutions

Theory can only take us so far. Case studies helped illuminate instances where confidence is ill-placed. Also, this course inducted me into preparing for the FRM certification.

PreviousCFRM 505: Monte Carlo Methods in FInanceNextCFRM 503: Asset Allocation & Portfolio Management

Last updated 12 months ago

Reading Material:

  • This course closely followed the curriculum of the certification and its content.

This course covers risk management principles and techniques in the context of solving real-world problems in the financial services industry. This course will help the student understand not only how the models work, but also their appropriate application and limitations. The material will include technical readings and cases that apply the knowledge or motivate its application. We will cover financial and operational risk issues and modeling solutions faced in the financial services industry. We will assess common constraints and organizational structures that risk managers work within. The course will cover management and measurement of market risk, credit risk, operational risk, liquidity risk, and model risk along with related regulatory frameworks. We will put these topics in the context of several cases that motivated the need for certain risk management practices or regulations and legislations. Homework projects will utilize Excel/VBA and other tools as applicable.

  1. Overview of Fixed Income Products

  2. Members of Financial Markets and Risks of Each

  3. Market Risk

    1. Duration

    2. Convexity

    3. Value at Risk

    4. Expected Shortfall

  4. Credit Risk

    1. Secured vs. Unsecured

    2. Probability of Default, Loss Given Default

    3. Credit Value at Risk

  5. Operational, Model, and Liquidity Risk

  6. Enterprise Risk Management

Case Studies Covered in Class

  • Long Term Capital Management

  • Orange County Bankruptcy

  • Fannie Mae and Freddie Mac

  • Lehman Brothers

  • Silicon Valley Bank

  • Washington Mutual

📈
2️⃣
Financial Risk Manager (FRM)