Home page of Business 35131. Prof. Pietro Veronesi

Financial Engineering: Cases in Financial Risk Management

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Course Overview

This course uses the case method to study the fundamentals of corporate financial risk management. The course has two main objectives: the first is to cover techniques to identify, measure and manage corporate financial risk, as modern financial markets and regulation require. Specifically, topics of discussion will include dynamic hedging and portfolio replication, the development of Value-at-Risk, the management of exchange rate risk, interest rate risk, credit risk and operation risk. This part of the course will take approximately 2/3 of the quarter. The second main objective is to build a framework to integrate financial risk management solutions with long-term corporate strategy. We will discuss cases where the use of financial engineering was vital for the success of a business strategy.

Note: Bus 35130 (old B437) and Bus 35132 (old Bus439) are not prerequisites for this course.

To know more about the course, you can download a PDF file with the Course Syllabus

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The Teaching Notes;
The Board;
The Excel Files;
The Assignments;
Data ;

You can contact me by sending your mail at pietro.veronesi@gsb.uchicago.edu

Last updated 12/11/97