Course Syllabus
Contact Information
Course Details
For a list of course activities, scroll to the bottom of this page.
Course Prerequisites
FIN 5102 Financial Management and FIN 5112 Investments
Course Materials
Required Materials
- Risk Budgeting: Portfolio Problem Solving with Value-at-Risk, Neil D. Pearson, Wiley and Sons Publisher, ISBN: 0-471-40556-6
- R—download from The Comprehensive R Archive Network
- RStudio—download version Desktop 2022.02.0+443
- Make sure you download R first!
Additional resources for R are provided on the Course Resources page.
Grades
Breakdown
| Activity | Description | Percent |
|---|---|---|
| Group Project 1 | Basic R and VaR demonstration | 30% |
| Group Project 2 | Compare and contrast popular VaR calculation methods | 30% |
| Group Project 3 | Choose between risk factor and stress test analyses | 30% |
| Peer Assessment | Assess teammate contribution to group success | 5% |
| Participation | Earn credit by joining Live Sessions and participating actively | 5% |
| Total | 100% |
Scale
| Percentage | Letter Grade |
|---|---|
| 90–100% | A |
| 80–89% | B |
| 70–79% | C |
| 60–69% | D |
| Below 60% | F |
Course Components
Group Project 1
Your team will publish an "instructional research report" detailing how one uses R and RStudio to acquire, prepare, present basic risk management-related data. You are free to choose 5 stocks, download 5 years of daily data, calculate some basic statistical data, VaRs for the individual stocks, and an equally-weighted portfolio along with the VaR contributions at an absolute and proportional level. Your "publication" is to be a pdf document, and all code used to generate the items in the document are to be provided for review.
Group Project 2
Your team will publish an in-depth research report comparing and contrasting the three methods most often used to calculate VaR. You will specifically address the similarities and differences for calculating VaR using each method. You are free to choose the assets to include in the analyses, and you are to explicitly detail your data sources, as well as analytical methods. As always, your research report publication will be a pdf document, and all code used to generate the analyses and the report will be provided for review.
Group Project 3
Your final report will be a choice from either an analysis of risk factors or a stress test. You are free to choose whichever your team prefers. You will follow the structure presented in the first 2 efforts, e.g., pdf report submission, all data and analytical techniques to be explained, and code used to generate the report to be available for review.
Peer Assessment
The peer assessment is to be performed by each team member. The objective of the peer assessment is for team members to provide the instructor an indication of other team members' contributions in the following areas: 1) effort, 2) preparation, 3) punctuality and 4) professionalism. Each category is to be scored from 1 to 10, with 10 being the highest score.
Participation
Punctual and consistent class participation is required by all students.
Note: The instructor has full license to adjust participation scores as seen fit.
Course Policies
Communication
I prefer that you contact me through the Canvas email system, which you can access through the "Inbox" button in the left menu. I understand sometimes it is not possible for you to contact me through Canvas, so you can send an email to jpb@ou.edu if needed. Use Canvas as much as you can, though.
Late Policy
Live Session participation is crucial to the learning process and all students are expected to participate synchronously. If you do miss a session, you may submit a make-up assignment within 7 days for a maximum of 75% credit. Detailed instructions are on the Live Session pages.
For late submissions of Homework Assignments and Skill Checks, you can earn a maximum of 50% credit. Technical difficulties are not an excuse. If you wait until the last minute, you increase the probability of incurring the penalty. There may be negotiation potential if you contact me before the due dates. Treat this late policy similar to when you travel—if you miss the plane, you miss it.
University Academic Policies and Student Support
Course Catalog
Search the OU Course Catalog.
Student Handbook
Please familiarize yourself with the OU Student Handbook.
Online Library
Access digital materials and other resources at OU Libraries.
Academic Misconduct
In addition to the course conduct policies outlined by your professor in the Course Syllabus in the online classroom, please review the Graduate Student Handbook.
It is the responsibility of each student to be familiar with the definitions, policies, and procedures concerning academic misconduct. The Student Code is available from the Office of the Vice President for Student Affairs and is contained in the Student's Guide to Academic Integrity.
This site also defines misconduct, provides examples of prohibited conduct, and explains the sanctions available for those found guilty of misconduct.
Plagiarism
Plagiarism is the most common form of academic misconduct at OU. There is basically no college-level assignment that can be satisfactorily completed by copying. OU's basic assumption about writing is that all written assignments show the student's own understanding in the student's own words. That means all writing assignments, in class or out, are assumed to be composed entirely of words generated (not simply found) by the student, except where words written by someone else are specifically marked as such with proper citation. Including other people's words in your paper is helpful when you do it honestly and correctly. When you don't, it's plagiarism.
For more information about plagiarism, watch this video and then take this short course offered by University Libraries.
Diversity Statement
The University of Oklahoma is committed to achieving a diverse, equitable, and inclusive university community by embracing each person's unique contributions, background and perspective. The University of Oklahoma recognizes that fostering an inclusive environment for all, with particular attention to the needs of historically marginalized populations, is vital to the pursuit of excellence in all aspects of our institutional mission. This enhances the OU experience for all students, faculty and staff and for the communities we engage.
Non-Discrimination Policy
The University does not discriminate or permit discrimination by any member of its community against any individual based on the individual’s race, color, religion, political beliefs, national origin, age (40 or older), sex, sexual orientation, genetic information, gender identity, gender expression, disability, or veteran status in matters of admissions, employment, financial aid, housing, services in educational programs or activities, or health care services that the University operates or provides. For more information, please contact the Institutional Equity Office.
Reasonable Accommodation for Disabilities
The University of Oklahoma is committed to providing reasonable accommodation for all students with disabilities. Students with disabilities who require accommodations in this course should contact their professor as early in the semester as possible.
Students with disabilities must be registered with the Accessibility and Disability Resource Center before receiving accommodations in this course.
If you have a disability and you would like to request reasonable accommodation, please see the Graduate Student Handbook or get in touch with the Accessibility and Disability Resource Center.
Adjustments for Pregnancy/Childbirth Related Issues
Should you need modifications or adjustments to your course requirements because of documented pregnancy-related or childbirth-related issues, please contact me as soon as possible to discuss your options. Generally, modifications will be made where medically necessary and similar in scope to accommodations based on temporary disability. Learn more about the rights of pregnant and parenting students by consulting the FAQ sheets provided by the Institutional Equity Office.
Title IX Resources
For any concerns regarding gender-based discrimination, sexual harassment, sexual misconduct, stalking, or intimate partner violence, the University offers a variety of resources, including advocates on-call 24/7, counseling services, mutual no-contact orders, scheduling adjustments and disciplinary sanctions against the perpetrator. Please contact the Title IX Office at 405-325-2215 (8–5, M–F) or OU Advocates at 405-615-0013 (24/7) to learn more or to report an incident. Also, please be advised that a professor/GA/TA is required to report instances of sexual harassment, sexual assault, or discrimination to the Sexual Misconduct Office.
Religious Holidays
It is the policy of the University to excuse absences of students that result from religious observances and to provide without penalty for the rescheduling of examinations and additional required classwork that may fall on religious holidays. It is the responsibility of the student to make alternate arrangements with the instructor at least one week before the actual date of the religious holiday.
Student Grievances
In addition to any policies outlined related to submitting an informal or formal grievance by your professor in the Course Syllabus in the online classroom, please review the Graduate Student Handbook for more information about the process of submitting a formal grievance.
Copyright Policy
It is illegal to download, upload, reproduce, or distribute any copyrighted material, in any form and any fashion, without permission from the copyright holder or their authorized agent. The University of Oklahoma expects all members of its community to comply fully with federal copyright laws. If such laws appear to have been violated by any user, the university reserves the right (1) to terminate that user's access to some or all of the university's computer systems and information resources and (2) to take additional disciplinary actions as deemed necessary or appropriate. Repeat offenders will be sanctioned and their privileges terminated.
Registration and Withdrawal
If you choose to withdraw from this course, you must complete the appropriate University form and turn the form in before the deadline. If you stop attending the course and doing the coursework without doing the required paperwork, your grade will be calculated with missed homework and examination grades entered as zero. This could result in receiving a grade of F in the course. Deadlines are shown in the Academic Calendar, which is available from the Office of the Registrar.
Course Summary:
| Date | Details | Due |
|---|---|---|