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Examine risk in the context of potential earnings loss due to adverse movements in market prices or rates. Analyze changes in market conditions, such as interest rates, currency trading, equity, options markets, and commodity trading. Market risk has a long history in the application of models by financial engineers, and these traditional models are presented and reviewed in class. The course also covers basic metrics, such as duration, convexity, and value-at-risk as used to monitor and minimize market risk within a financial institution.
http://www.sps.nyu.edu/content/scps...972