OLIN BUSINESS SCHOOL
Finance 500Q: Quantitative Risk Management (Sections 4 & 5) – Spring 2022 Syllabus
Course Information
Instructors:
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(Virtual) Office Hours: Teaching assistants: Classes:
Course modality
Lingfei Kong;
Thursday 12 pm -1 pm (online via Zoom)
Class time
T-R— 2:30P-3:50P T-R— 4:00P-5:20P
Zoom (Jan 2022); Knight Center 340 Zoom (Jan 2022); Knight Center 340
This course will be offered online first two weeks and in-person from January 31st, 2022.
Student illness or quarantine
• If you have symptoms of COVID-19 or if you have been exposed to COVID-19, you must call the COVID Call Center of Habif Health and Wellness Center for testing. In such cases, you should not attend any in-person class. Missing in-person class sessions for this reason will be considered an excused absence. https://students.wustl.edu/habif-health-wellness-center/ .
• You may find yourself well but in quarantine or isolation due to possible exposure, diagnosed with COVID-19, or ill but still able to participate. If your exposure or illness requires absence, Habif will notify the Program’s office, who will in turn notify me. I will provide accommodations either as a livestream link and/or recording. If I am livestreaming courses and you are well enough to participate, it is expected that you will continue to attend and participate in the course remotely over Zoom. You are expected to promptly communicate any additional requests or needs with me.
• In both scenarios, it is important that you take care of your health. I expect that you will communicate with me as soon as you realize that you will be unable to attend class.
Course Description
Risk management is an increasingly important, but often misunderstood, aspect of corporate financial policy. This course is designed to provide solid theoretical and technical foundations for financial risk management with applications to a variety of different industries and firms. Measures of risk, regulatory requirements for risk control, and risk management strategies employing derivative securities against market and credit risks will be analyzed. In addition, risk management methods and tools that are commonly used in practice will be introduced.
Prerequisites: Fin 524 and Fin 524B, or Fin 451 (undergraduate).
Lecture slides
Lecture slides will be distributed electronically via Canvas and will be posted prior to class. If you wish to take notes directly on the slides, please make sure to print out a set before class. Canvas will also be used to post homework problems and any supplementary materials.
Recommended textbooks
There are two optional textbooks for this class:
1. Risk Management & Financial Institutions (5th edition) by (ISBN: 9781119448112).
2. Value at Risk (3rd edition) by , McGraw-Hill (ISBN: 9780071464956). Both books are available on Electronic Reserves with the University Libraries (Ares).
Recommended reading
I strongly recommend that you read either The Wall Street Journal (https://library.wustl.edu/news/university-libraries-and-olin-business-school-offer-extended-access-to- wall-street-journal/) or The Economist on a regular basis.
Grades will be determined using the following components: o Classparticipation: 10%
o Midterm1: 15%
o Midterm2: 30%
o Finalexam(cumulative): 45% Class participation
Class participation, classroom interaction, and collaboration are a signature of the Olin culture and Code of Conduct. It is expected that you attend class in-person. Remote participation is acceptable only if approved and should be synchronous if possible. Unauthorized sharing or usage of livestream links or recordings without my permission will be considered a violation of Olin’s Integrity Matters Professional Conduct Expectations and Standards, Section II. B. 1. f.. This includes sharing and accessing a previous term’s recording for this class. Academic integrity sanctions will apply to students found in violation.
For this class to be a success, I need your active participation. You are strongly encouraged to ask questions as we proceed through the material. If you do not understand a concept or an equation you should raise your hand and ask for clarification. If you miss a class due to reasonable causes (e.g., job interview), please email me before the class. Your class participation score will be based on my evaluation of your level (both quantity and quality) of participation in class discussions. Those students who made substantial contributions in class and were active in the course may get extra bonus points.
All exams will be held virtually, via Canvas Quiz. Students will log on Zoom class meetings and have their video on, while taking the exam. There is no make-up exam. If a student is unable to attend the midterm or the final exam on the scheduled date, it is their responsibility to notify the instructor prior to the exam and with reasonable notice. If a student is unable to attend the midterm exam, at the discretion of the instructor,
and only in extraordinary circumstances, the final exam grade may be used for the midterm exam. If a student is unable to attend the final exam on the scheduled date, at the discretion of the instructor, and only in extraordinary circumstances, the student may be authorized to take exams before the scheduled date. It is strongly advised that students schedule job and internship interviews around their class and exam schedules. Employers understand that academics are your top priority. For off-campus interviews at an employer’s site, most employers will accommodate a student who needs to schedule an interview around a class or exam.
Midterm 1. The first midterm exam is scheduled for Feb 17, 2022, during class time. Further instructions will be posted on Canvas.
Midterm 2. The second midterm exam is scheduled for April 5, 2022, during class time. Further instructions will be posted on Canvas.
Final exam. The final exam will be given in accordance with the university calendar and is scheduled for May 2 2022 10:00 am – 12:00 pm. The final exam is cumulative.
Homework will be assigned regularly to help you check your understanding and as a practice for the exams. Homework will not be graded and you do not need to turn in your work, but you are strongly advised to make an attempt at solving each of the problems before the suggested due date. The number of homework assignments and the number of problems in each homework will depend on the pace of the class. Solutions to the homework problems will be posted after the homework due date. I recommend you to read the lecture notes first, work on the problem sets, and then study the solution.
Distractions
• Students are expected to remain in the (virtual or in-person) classroom for the duration of the class session unless an urgent need arises, or prior arrangements have been made with the instructor.
• Students are expected to focus on the class session and not multi-task.
• Students are expected to keep their mobile phones turned off or have them set on silent/vibrate during
class. Answering phones while class is in session is not permitted.
Guidelines for students who are participating in class remotely via Zoom:
What is expected of me when attending class virtually via Zoom?
• Remote students are strongly encouraged to have their device camera enabled during class. A virtual background is also encouraged. Adjust lighting in your learning environment to ensure you are visible on camera. For example, you can place a lighting source behind your PC (the lighting in front of the camera should be brighter than any lighting behind the camera).
• To ensure proper Zoom functionality, students must sign in to Zoom with their WUSTL key.
• Remote students should utilize headphones or another secondary microphone source for communicating during class. Doing so will ensure that the instructor, and other students, are able to hear each student clearly as well as minimize audio feedback.
• Privacy concerns should be taken into account before joining the video and using the chat. 3
• Students who have been unexpectedly disconnected from Zoom should work to reconnect utilizing the technology available to them at the time. If the student is unable to reconnect, the student should notify the instructor via their preferred method of communication and then use the class recording to make up for the lost material.
If I have a question or comment, how do I notify my instructor and communicate?
• Remote students should raise their hand virtually using the “Raise Hand” functionality within Zoom. This “raised hand” will be acknowledged by either the instructor or the Classroom Engagement Moderator. Once notified, the instructor will call on the remote student or address the question/comment.
• Students may also utilize the chat functionality within Zoom. For this option, students should type either “COMMENT” or “QUESTION” at the beginning of the chat box entry. This will be identified by either the instructor or Classroom Engagement Moderator. Once notified, the instructor will call on the remote student.
• It is recommended that remote students DO NOT raise their actual hand on camera. It is also recommended that students DO NOT begin speaking unless called upon.
• When a student (in the classroom or remote) is called upon, it is recommended that the student state their name prior to addressing the instructor with a question or comment. This will ensure students know which of their peers is speaking.
What should I do if my instructor has been disconnected from Zoom?
• If we are in a fully virtual format, students should remain on Zoom for at least 5 minutes. Students may then exit the session, but they should ensure they have access to their email for an additional 10 minutes to allow the instructor the opportunity to provide updated communication and direction on how the class will continue. If the instructor does not return or provide updated communication after 15 minutes, the remainder of the class will be canceled then later completed asynchronously via a recording that will be posted on Canvas.
• If you have approval to attend an in-person class remotely, the instructor (or the Classroom Engagement Moderator) will contact AV support to get the classroom logged back in as quickly as possible. Stay on the Zoom link and monitor your email for additional instructions.
What should I do if I have been disconnected from Zoom?
• Students who have been unexpectedly disconnected from Zoom should work to reconnect utilizing the technology available to them at the time. If the student is unable to reconnect, the student should notify the instructor via their preferred method of communication and then use the class recording to make up for the lost material.
University Policies and Resources
COVID-19 Health and Safety Protocols:
While on campus, it is imperative that students follow all public health guidelines established to reduce the risk of COVID-19 transmission within our community. The full set of University protocols can be found at https://covid19.wustl.edu/health-safety/. This includes:
• Completing a self-screening using the WashU COVID-19 Screening app every day before coming to campus or leaving your residence hall room. If you do not receive a green check and pass the screening, you are not permitted to come to campus or leave your residence hall room. You must contact the COVID Call Center (314-362-5056) or the Habif Health and Wellness Center (314 935-6666) immediately. Note: In addition to the symptoms listed in the screening tool, everyone also should pay attention to symptoms that are new or different for you, including things like headache and congestion, particularly in combination with diarrhea. These can also be signs of COVID-19. Call the COVID Call Center or Habif to report these symptoms.
• Complying with universal masking. All individuals on campus must wear disposable masks or cloth face coverings while occupying indoor public settings, including: multi-person offices, hallways, stairwells, elevators, meeting rooms, classrooms and restrooms. Masks are encouraged but not required for outdoor activities, particularly at large events or in crowded settings.
• Maintaining physical distancing as needed. While distancing requirements have been removed for vaccinated students, those who are not fully vaccinated are strongly encouraged, for their own health, to maintain a distance of 6 ft from others in the classroom. If you are not able to be vaccinated or have conditions that may put you at increased risk of failed immunity and classroom activities would bring you in frequent proximity to other students, contact your instructor to discuss alternatives.
• Practicing healthy personal hygiene, including frequent handwashing with soap and warm water for at least 20 seconds and/or using hand sanitizer with at least 60% alcohol.
Olin’s Pillars of Excellence
Olin students will:
• Embody a values-based and data-driven ethos in their approach to all business situations.
• Understand the global opportunities and challenges facing businesses.
• Engage with business issues through the application of experiential knowledge, in addition to the rigorous technical skills acquired in the classroom.
• Pursue world-changing initiatives with an entrepreneurial and innovative mindset and skillset. Academic Integrity
Students are required to abide by the of Conduct. Academic dishonesty of any form will not be tolerated. Please refer to the of Conduct for responsibilities, guidelines, andprocedures regarding academic integrity.
Reporting Sexual Harassment
If a student discusses or discloses an instance of sexual assault, sex discrimination, sexual harassment, dating violence, domestic violence or stalking, or if a faculty member otherwise observes or becomes aware of such an allegation, the faculty member will keep the information as private as possible, but as a faculty member of Washington University, they are required to immediately report it to the Department Chair or Dean or directly to Ms. , the University’s Title IX Director, at (314) 935-3118, Additionally, you can report incidents or complaints to the Office of Student Conduct and Community Standards or by contacting WUPD at (314) 935-5555 or your local law enforcement agency. See: Title IX
Confidential Resources for Instances of Sexual Assault, Sex Discrimination, Sexual Harassment, Dating Violence, Domestic Violence, or Stalking
If a student needs to explore options for medical care, protections, or reporting, there are free, confidential support resources and professional counseling services are available through the Relationship and Sexual Violence Prevention (RSVP) Center in Seigle Hall, Suite 435, 314-935-3445. For after-hours emergency response services, call 314-935-6666 or 314-935-5555 and ask to speak with an RSVP Counselor on call.
Academic Accommodations
Reasonable Accommodations for Disabled Students – Washington University in St. Louis supports the rights of enrolled students to a full and equal educational opportunity and, in compliance with federal, state, and local requirements, is committed to reasonable accommodations for individuals with documented disabilities. Disabled students for whom accommodations may be necessary must be registered with, and provide their instructors official notification through, WUSTL’s Disability Resources (https://students.wustl.edu/disability- resources/). Once established, responsibility for disability-related accommodations and access is
shared by DR, faculty, and the student. Please contact Disability Resources at 314.935.5970 or
Sexual Assault Resources – The University is committed to offering reasonable academic accommodations (e.g., a no-contact order, course changes) to students who are victims of relationship or sexual violence, regardless of whether they seek criminal or disciplinary action. If you need to request such accommodations, please contact RSVP (information above) to schedule an appointment with an RSVP confidential and licensed counselor. Although information shared with counselors is confidential, requests for accommodations will be coordinated with the appropriate University administrators and faculty. See: RSVP Center
Bias Reporting
The University has a process through which students, faculty, staff, and community members who have experienced or witnessed incidents of bias, prejudice, or discrimination against a student can report their experiences to the University’s Bias Report and Support System (BRSS) team. See: brss.wustl.edu.
Mental Health
Mental Health Services’ professional staff members work with students to resolve personal and interpersonal difficulties, many of which can affect a student’s academic experience. These include conflicts with or worry about friends or family, concerns about eating or drinking patterns, and feelings of anxiety, depression, and thoughts of suicide. See: https://students.wustl.edu/mental- health-services/ Additionally, see the mental health services offered through the RSVP Center listed above.
WashU Cares
WashU Cares, within the Health and Wellness Unit, provides resources to all students on the who may be having a hard time. WashU Cares is committed to helping create a culture of caring. Through proactive, collaborative, and systemic approaches, WashU Cares works with students to identify interventions, resources, and supports that allow them to be successful. If there is a concern about the
physical or mental well-being of a student, please file a report on the WashU Cares website. See:
https://washucares.wustl.edu/.
Center for Diversity and Inclusion (CDI)
The Center for Diversity and Inclusion (CDI) supports and advocates for undergraduate, graduate, and professional school students from underrepresented and/or marginalized populations, collaborates with campus and community partners, and promotes dialogue and social change to cultivate and foster a supportive campus climate for students of all backgrounds, cultures, and identities. See: https://diversityinclusion.wustl.edu/.
Preferred Name and Gender Inclusive Pronouns
In order to affirm each person’s gender identity and lived experiences, it is important that we ask and check in with others about pronouns. This simple effort can make a profound difference in a person’s experience of safety, respect, and support. See: https://students.wustl.edu/gender-pronouns- information/, https://registrar.wustl.edu/student-records/ssn-name-changes/preferred-name/.
Military Service Leave
Washington University recognizes that students serving in the U.S. Armed Forces and their family members may encounter situations where military service forces them to withdraw from a course of study, sometimes with little notice. Students may contact the Office of Military and Veteran Services at
(314) 935-2609 or and their academic dean for guidance and assistance. See: https://veterans.wustl.edu/policies/policy-for-military-students/.
Tentative Course Schedule
1/18/2022 1/20/2022 1/25/2022 1/27/2022 2/1/2022 2/3/2022 2/8/2022 2/10/2022 2/15/2022 2/17/2022 2/22/2022 2/24/2022 3/1/2022 3/3/2022 3/22/2022 3/24/2022 3/29/2022 3/31/2022 4/5/2022 4/7/2022 4/12/2022 4/14/2022 4/19/2022 4/21/2022 4/26/2022 4/28/2022 May 2 2022
2. Risk Management Irrelevance
2. Risk Management Irrelevance
3. Why Risk Management?
3. Why Risk Management?
3. Why Why Risk Management?; 4. Volatility 4. V olatility
4. V olatility
Review; Q&A
5. Value at Risk
5. Value at Risk
5. Value at Risk
6. Hedging using Forwards & Futu
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