NBA 5500 - Risk Management and Derivative Investment

Fall. 1.5 credits.

Prerequisite: NBA 6730 or equivilent.

P. Gao.

This course has two main objectives. First, we introduce basic techniques in financial risk management such as dynamic hedging, portfolio insurance, cross- and stack-hedge strategies, and Value-at-Risk. Second, we discuss portfolio investment strategies based on the information from derivative markets. Topics include futures momentum and trend following, carry trade, rare disaster risk (across both asset classes and global markets), and hedge fund performance.