FINM 36702

Portfolio Theory and Risk Management II

Winter Quarter
Instructor: Jon Frye

The global credit crisis of 2008 taught that credit loss can destroy even a “secure” financial institution. In Portfolio II, students gain familiarity with the credit portfolio loss models used to quantify this risk, to limit trading in credit-sensitive instruments, to allocate costs, and to determine required bank capital. Besides the practical aspects, these models provide vivid examples of how simple assumptions can economize the handling of inherently sparse data when the stakes are high.

This course takes place in the first five weeks of the quarter. 

Prerequisite: FINM 36700 Portfolio Theory and Risk Management I