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Fall 2019 Mathematics GR5320 section 001

Call Number 50722
Day & Time
R 8:10pm-10:00pm
203 Mathematics Building
Points 3
Grading Mode Standard
Approvals Required None
Instructor Harvey Stein
Method of Instruction Classroom
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 Vergil
Department Mathematics
Enrollment 48 students (80 max) as of 7:03PM Thursday, February 20, 2020
Subject Mathematics
Number GR5320
Section 001
Division Graduate School of Arts and Sciences
Campus Morningside
Note Priority to MAFN students, then STAT students.
Section key 20193MATH5320G001

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SIS update 02/20/20 19:03    web update 02/20/20 21:23