Allan Malz

Lecture notes

This is the complete set of slides developed for my courses at Columbia University:


Development of the contemporary financial system
Introduction to financial intermediation and financial risk
Risk, expectations and asset price behavior
Market equilibrium and relative risk
Volatility behavior and forecasting
Value-at-Risk
Market risk measurement in practice
Credit and counterparty risk
Credit risk models
Fixed income risk
Foreign exchange risk
Swap hedging of foreign exchange and interest rate risk
Leverage risk
Forms of leverage
Liquidity risk
Extreme market risk events
Critiques and accuracy tests of Value-at-Risk
Incorporating extreme events into risk measurement
How asset prices express the risk of extreme events
Credit portfolios
Portfolio credit risk models
Securitization
Structured credit risk
Capital market efficiency
Economic capital
Financial imbalances and financial crises
Financial market impact of the crisis and policy response
International financial imbalances
Central banks and the financial system
The Federal Reserve response to the global financial crisis
Monetary policy after the global financial crisis
Overview of financial regulation
Regulatory capital standards
Funding liquidity regulation
Financial stability regulation