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Fall 2017 Mathematics GR5320 section 001

Call Number 62854
Day & Time
R 8:10pm-11:00pm
312 Mathematics Building
Points 3
Approvals Required None
Instructor Harvey Stein
Course Description Prerequisites: student expected to be mathematically mature and familiar with probability and statistics, arbitrage pricing theory, and stochastic processes. The course will introduce the notions of financial risk management, review the structure of the markets and the contracts traded, introduce risk measures such as VaR, PFE and EE, overview regulation of financial markets, and study a number of risk management failures. After successfully completing the course, the student will understand the basics of computing parametric VaR, historical VaR, Monte Carlo VaR, cedit exposures and CVA and the issues and computations associated with managing market risk and credit risk. The student will be familiar with the different categories of financial risk, current regulatory practices, and the events of financial crises, especially the most recent one.
Web Site CourseWorks
Department Mathematics
Enrollment 69 students (80 max) as of 11:44PM Sunday, February 18, 2018
Final Exam Day/Time
R 7:10pm-10:00pm
Final Location 312 Mathematics Building
Subject Mathematics
Number GR5320
Section 001
Division Graduate School of Arts and Sciences
Open To Barnard, Columbia College, Engineering and Applied Science: Graduate, Graduate School of Arts and Science, General Studies, School of Professional Studies, Global Programs, International and Public Affairs
Campus Morningside
Note "Priority to MAFN students, then STAT students."
Section key 20173MATH5320G001

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SIS update 02/18/18 23:44    web update 02/19/18 15:04