Lectures and Schedule:

Lecture

Date

Lecture

Readings

1

1/14

Introduction to Financial Risk Management (PowerPoint Slides);

Smithson Ch. 1 and (Santomero & Babbel)

2

1/16

Actuary of the 3rd Kind (PowerPoint Slides) 

(D'Arcy 1)

3

1/23

Bond Pricing and Forward Interest Rates (PowerPoint Slides) 

VFISD Ch.1, 2 and 3

4

1/28

Term Structure Theories and Forwards (PowerPoint Slides)

Smithson Ch. 2,4,5

5

1/30

Futures/Interest Rate Futures (PowerPoint Slides)

Smithson Ch. 2,6,7

VFSID Ch. 12

6

2/4

Swaps and Options (PowerPoint Slides) 

Smithson Ch. 8-12

7

2/6

Interest Rate Options (PowerPointSlides)

BankSA Reading

AFM Reading

8

2/11

Credit Derivatives (PowerPoint Slides)

D’Arcy, McNichols and Zhao

9

2/13

Use of Derivatives by Insurers (PowerPoint Slides)

Cummins, Phillips, and Smith

10

2/18

Goals of ALM, Duration and Convexity (PowerPoint Slides)

VFISD Ch. 4

11

2/20

Duration and Convexity Part 2 (PowerPoint Slides)

(D’Arcy and Gorvett)

12

2/25

Review for the First Exam (PowerPoint Slides)

 

 

2/27

First Exam

 

13

3/3

Stochastic Processes (PowerPoint Slides) 

VFISD Appendix to Ch. 3

14

3/5

Interest Rate Models (PowerPoint Slides) 

Ahlgrim, D'Arcy, and Gorvett 1

(Financial Scenario Generator)

(Figures and Tables)

15

3/10

Financial Scenario Generators (PowerPoint Slides)

Ahlgrim, D’Arcy and Gorvett 2

16

3/12

Embedded Options and The Binomial Method (PowerPoint Slides)

VFISD Ch. 5,6,7

Babbel, Merrill and Zacharias

17

3/24

CMO's and Monte Carlo Simulation (PowerPoint Slides)  (CMO Speadsheet)

VFISD Ch. 8

18

3/26

CDOs (PowerPoint Slides)

 

CDO Cash Flow Spreadsheet

CDOs in Plain English

CDOs and Credit Risk Transfer

Wall Street’s Money Machine Breaks Down

 

19

3/31

Valuing Interest Rate Options and Swaps (PowerPoint Slides)

VFISD Ch. 13 and 14

20

4/2

Interest Rate Sensitivity (PowerPoint Slides)

Ahlgrim, D’Arcy and Gorvett 3– Geneva Papers (handout)

21

4/7

 DFA (PowerPoint Slides)

D'Arcy, Gorvett, Herbers, and Hettinger - Contingencies

D’Arcy and Gorvett - JRI

22

4/9

Securitizing Catastrophe Risk (PowerPoint Slides)

(Gorvett)

Listing of insurance securitizations

 

4/14

Second Exam

 

23

4/16

Loss Reserve Ranges (PowerPoint Slides)

D’Arcy, Au and Zhang

24

4/21

Longevity Risk(PowerPoint Slides)

Blake, Cairns and Dowd 1

 

Blake, Cairns and Dowd 2

 

Credit Suisse Longevity Index

25

4/23

Class Session Used to Catch Up on Past Lectures

None

26

4/28

The Next Risk Management Frontier - ERM (PowerPoint Slides)

D’Arcy 2

27

4/30

Last Lecture (PowerPoint Slides) 

 

Exam Announcements (PowerPoint Slides)

 

 

5/6

Final Exam  8-11 am