UNIVERSITY OF ILLINOIS AT URBANA-CHAMPAIGN

College of Commerce and Business Administration - Department of Finance

FINANCE 343 - Spring 2000

FINANCIAL RISK MANAGEMENT OF INSURANCE ENTERPRISES

Professor Stephen D'Arcy

   

 

Summary of Readings

     All required readings should be read before the beginning of class.  Some lectures require much more reading than others, so it is recommended that the student look ahead and manage his or her time with respect to when each reading is done.  It should also be noted that the "Part 8 Readings" do not include any readings from Bodie, Kane, and Marcus' Investments or Elton and Gruber's Modern Portfolio Theory and Investment Analysis, nor does it include all of the papers required for the exam.  Students preparing for the Part 8 exam should be aware of the additional readings necessary and read those when possible.

     Also, some of the lectures have internet links that should be followed as a required "reading" before each lecture.  These links are on the individual lecture description pages, so be sure to check those when you download the lecture notes.

 

Key to Textbook Abbreviations

VFISD = Fabozzi's Valuation of Fixed Income Securities and Derivatives

HFIS = Fabozzi's Handbook of Fixed Income Securities

Smithson = Smithson's Managing Financial Risk

Hull = Hull's Options, Futures, and Other Derivatives

 

 

Lecture # Required Readings Part 8 Readings Advanced Readings
1 Smithson Chapter 1 None None
2 D'Arcy's Actuary of the Third Kind None None
3 Santomero & Babbel Paper HFIS Chapter 2 None
4 Smithson Chapter 21 None None
5 VFISD Chapters 1 & 2 HFIS Chapters 4, 8-11, 17 None
6 VFISD Chapter 3 or
HFIS Chapter 6		 None HFIS Chapter 43
7 Smithson Chapters 2, 4, 5 None None
8 Smithson Chapters 2, 6, 7
and VFISD Chapter 12		 Hull Chapters 2-4 HFIS Chapters 56-58
9 Smithson Chapters 2, 8, 9 None HFIS Chapter 61
10 Smithson Chapters 10-12 Hull Chapters 6 - 9 Smithson 13
11 HFIS Chapters 59 & 62 None None
12 Cummins, Phillips, and Smith Paper None None
13 VFISD Chapter 4 HFIS Chapter 5 None
14 D'Arcy and Gorvett Paper None Ferguson's "Duration" and D'Arcy's "Duration: Discussion"
15 VFISD Appendix to Chapter 3 Hull Chapter 10 None
16 Van der Meer & Smink Paper HFIS Chapter 48 None
17 VFISD Chapters 5-7 and
Babbel, Merrill, and Zacharias Paper		 HFIS Chapter 36 None
18 VFISD Chapter 8 and
Seila Paper		 HFIS Chapter 26 Hull Chapter 15 and HFIS Chapters 27-30
19 VFISD Chapter 13 Hull Chapter 11 Smithson Chapter 18, Hull Chapter 16, and HFIS Chapter 59
20 VFISD Chapter 14 None Hull Chapter 5
21 Noris and Epstein Paper None None
22 Carr, Kelly, and Young Paper
Morgan Stanley Strategy Notes		 None None
23 Hodes and Feldblum Paper None HFIS Chapter 51
24 Warthen and Almagro, D'Arcy, Gorvett, et al, CAS Papers None See lecture description
25 Kozlowski and Mathewson Paper None None
26 Gorvett Paper None See lecture description
27 Jorion Paper None None