Syllabus

1. General

   Instructor

   Peter Bloomfield

   Telephone number

   515-1913

   E-mail address

   Peter_Bloomfield@ncsu.edu

   Office hours

   10:00 a.m. - 12:00 noon Tuesdays

   Office address

   5210 SAS Hall

   Class meeting times

   8:30 - 9:45 a.m. MW, in 1108 SAS Hall

2. Course prerequisites: Instructor's permission
3. General Education Requirements: Not applicable.
4. Student learning outcomes for the course: The student will be able to:
   • recognize statistical models relevant to a problem in financial risk;
   • analyze historical data to identify and estimate such models;
   • incorporate statistical models into an integrated risk calculation;
   • distinguish among measures of risk and understand which to use in a given application.
5. Required Textbook: none.
   Recommended Textbooks: under construction...
6. Course organization and scope:

   Topic
   1. Risk-neutral and actual probabilities	2 weeks
   2. Statistical tools for modelling financial data	3 weeks
   3. Short term risk	3 weeks
   4. Coherent risk measures	3 weeks
   5. Long term risk	3 weeks

7. Reading assignments: Under construction...
8. Homework assignments: see the homework assignments page.
9. Tests: You will write a term paper on a topic to be identfied by mid-semester.
10. Grades: A satisfactory term paper will result in a course grade of "S".
    Auditors are excused from the tests, but meet all other course requirements, including timely submission of homework.
11. Incomplete grades and late assignments: An incomplete grade will be given only in accordance with NCSU grading policy. Homework will be accepted late only with prior approval from the instructor.
12. Attendance, absences, and makeup work: Full participation in classes and examinations is expected of all students. Students are expected to inform the instructor in advance about any anticipated excused absences. See the university attendance regulation for university definitions of excused absences.
13. Academic Integrity:
    1. NCSU has a policy on academic integrity, which you may find in the Code of Student Conduct.
    2. It is the understanding and expectation of the instructor that the student's signature on any test or examination means that the student neither gave nor received unauthorized aid.
    3. As noted above, you are encouraged to work together to master the exercises assigned as homework. All tests and the final examination are submitted for a grade, and must be your own individual work.
14. Students with disabilities: Reasonable accommodations will be made for students with verifiable disabilities. In order to take advantage of available accommodations, students must register with Disability Services for Students at 1900 Student Health Center, Campus Box 7509, 515-7653. For more information on NC State's policy on working with students with disabilities, please see the Academic Accommodations for Students with Disabilities Regulation (REG02.20.01).
15. Laboratory safety and field trips: Not applicable.
16. Statement on extra expenses: Not applicable.
17. Statement on transportation: Not applicable.