Allan Malz

Lecture notes

These slides accompany Contemporary Finance, and were originally developed for my courses at Columbia University and other universities.

Introduction to financial markets, intermediation and 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
Interest rates and credit spreads
Foreign exchange risk
Swap hedging of foreign exchange and interest rate risk
Leverage and leverage risk
Liquidity and liquidity risk
Extreme market risk events
Critiques and accuracy tests of Value-at-Risk
Incorporating extreme events into risk measurement
Credit portfolios
Portfolio credit risk models
Securitization
Structured credit risk
Economic capital
Financial imbalances and financial crises
International financial imbalances
Central banks and the financial system
Central banks in the global financial crisis and after
Overview of financial regulation
Regulatory capital and funding liquidity standards
Financial stability regulation