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Graduate School of Management & Economics Sharif University of Technology

Risk Management & Evaluation 44617 Spring Semester 2021 Instructor: Shiva Zamani ([email protected]) Office phone: 66022755/6 Ext: 147 Assistants: Mehrdad Moghimi, Kianoush Saeedi

Course materials The assigned text for this course is: 

John Hull, Risk Management and Financial Institution, Prentice Hall; 5th edition (2018)

Additional References:  

Michel Crouhy, Dan Galai, Robert Mark, Risk Management, McGraw-Hill Alexander J. McNeil, Rudiger Frey, Paul Embrechts, Quantitative Risk Management, Concepts, Techniques and Tools, Princeton Series in Finance; (2005)



The Website of John Hull: www.rotman.utoronto.ca/~hull

Syllabus and Course Schedule

Week

Date

1

Saturday 25/11/99

Introduction Chapter 1 Interest rate Risk Chapter 9

2

Saturday 2/12/99

Interest rate Risk Chapter 9

3

Saturday 9/12/99

Volatility Chapter 10

Topics

Assignment 1 4

Saturday 16/12/99

Volatility Chapter 10 Assignment 1 Due Date

5

Saturday 23/12/99

Correlations and Copulas Chapter 11 Assignment 2

Norouz Holiday

6

Saturday 14/01/1400

7 Saturday 21/01/1400

8

Saturday 28/01/1400 Monday 30/1/1400

VaR and Expected Shortfall Chapter 12 Assignment 2 Due Date Historical Simulation and EVT Chapter 13

Model Building Approach Chapter 14 Questions and Answers

Wednesday 1/02/1400 Midterm Exam

9

Saturday 4/02/1400

Model Building Approach Chapter 14 Credit Risk: Estimating Default Probabilities Chapter 19

10

Saturday 11/02/1400

Credit Risk: Estimating Default Probabilities Chapter 19

11

Saturday 18/02/1400

Credit VaR Chapter 21

Monday 20/02/1400

12

Saturday 25/02/1400

Term Project Scenario Analysis and Stress Testing Chapter 22 Assignment 3 Operational Risk Chapter 23

13 Saturday 1/03/1400

Operational Risk Chapter 23 Assignment 3 Due Date Liquidity Risk Chapter 24

14

Saturday 8/03/1400

15

Saturday 15/03/1400

Holiday

Monday 17/03/1400

Economic Capital and RAROC Chapter 26

16

Saturday 22/03/1400 Monday 24/03/1400

Liquidity Risk Chapter 24 Model Risk Management Chapter 25

Risk Management Mistakes to Avoid Chapter 29 Term Project Due Date

Instructional method Each session is capped by a lecture and discussion. The main reference book (Hull) is meant to be studied carefully, and I would emphasize that the handouts and discussions are certainly not sufficient to complete the course.

Grading (Evaluation) Assignments

15%

Term Project

10%

Midterm Exam

40%

Final exam

40%

Exams The midterm exam will be held on Wednesday 8/02/1400 and the final exam will be held on Date.

Office hours For setting an appointment, you can e-mail me ([email protected]). This course is delivered in the framework of "Official Educational Rules for Graduate Programs in Sharif University of Technology"....