46-955 Risk Management II

6 units, Carnegie Mellon University

This course will cover in detail several risk management topics that have become indispensable since the financial crisis. These include the concepts Credit Valuation Adjustment CVA, Debit Valuation Adjustment DVA and Funding Valuation Adjustment FVA for pricing overthecounter trades. Also included will be a discussion of economic and regulatory capital. The distinguishing feature of the course is that these quantities will be computed for a simple portfolio using Monte Carlo simulation in a reasonably realistic model. Some material will be presented by senior practitioners. Reference text L.Andersen and V.Piterbarg, Interest Rate Modeling.

Prerequisites: 46-954 and 46-945

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