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
- Quantitative Enterprise Risk Management, Mary Hardy and David Saunders, Cambridge University Press, ISBN: 978-1-009-09846-5
- Referenced as "QERM"
- R—There are two ways to access R in this course
- Web Access:
- https://posit.cloud/
- Allows you to go directly to applications without having to download or install anything.
- Local, e.g. laptop or desktop
- Download and Install R from The Comprehensive R Archive Network
- Download and Install RStudio https://posit.co/download/rstudio-desktop/
- Make sure you download R first!
- As an aside: RStudio has changed its name to Posit, but no worries, everything else is the same.
- Web Access:
Additional resources for R are provided on the Course Resources page.
Optional Materials
- Risk Budgeting: Portfolio Problem Solving with Value-at-Risk, Neil D. Pearson, Wiley and Sons Publisher, ISBN: 0-471-40556-6
- This is an optional text recommended for students who want deeper mathematical detail
- Referenced as "RB"
Grades
Breakdown
| Activity | Description | Percent |
|---|---|---|
| Individual Assignment 1 | Basic R and VaR demonstration | 10% |
| Group Assignment 1 | Compare and contrast popular VaR calculation methods | 30% |
| Group Assignment 2 | Choose between risk factor and stress test analyses | 30% |
| Group Assignment 3 | Details to be shared in due course | 30% |
| Total | 100% |
Scale
| Percentage | Letter Grade |
|---|---|
| 90–100% | A |
| 80–89% | B |
| 70–79% | C |
| 60–69% | D |
| Below 60% | F |
Course Components
Individual Assignment 1
You 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 Assignment 1
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 Assignment 2
Your next team 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.
Group Assignment 3
Details to be shared in due course.
Group Work Information
Our class will be divided into small groups, determined during the first Live Session. Each group will complete the three group assignments posted in Canvas. Groups will be limited to 5 members, but you will be able to self-select the group you’d like to join. I will assign students who have no group preference to groups with space remaining.
To join your preferred group,
Go to People.
- Select the group tab (at the top of the page).
- Browse through the list of groups until you find the group you are interested in:
- Click Join to join a group.
- Leave a group by selecting Leave
Groups will need to be finalized during the first Live Session so that you may begin the communication and collaboration required outside of our meeting times to devote to the group assignments. Group assignment information and details will also be discussed during the first Live Session.
Participation
Punctual and consistent class participation is expected from all students.
Note: The instructor has full license to adjust scores based on participation 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
Land Acknowledgement
Long before the University of Oklahoma was established, the land on which the University now resides was the traditional home of the “Hasinais” Caddo Nation and “Kirikirʔi:s” Wichita & Affiliated Tribes.
We acknowledge this territory once also served as a hunting ground, trade exchange point, and migration route for the Apache, Comanche, Kiowa and Osage nations. Today, 39 tribal nations dwell in the state of Oklahoma as a result of settler and colonial policies that were designed to assimilate Native people.
The University of Oklahoma recognizes the historical connection our university has with its indigenous community. We acknowledge, honor and respect the diverse Indigenous peoples connected to this land. We fully recognize, support and advocate for the sovereign rights of all of Oklahoma’s 39 tribal nations. This acknowledgment is aligned with our university’s core value of creating a diverse and inclusive community. It is an institutional responsibility to recognize and acknowledge the people, culture and history that make up our entire OU Community.
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.
Copyright Statement
Sessions of this course may be recorded or live-streamed. These recordings are the intellectual property of the individual faculty member and may not be shared or reproduced without the explicit, written consent of the faculty member. In addition, privacy rights of others such as students, guest lecturers, and providers of copyrighted material displayed in the recording may be of concern. Students may not share any course recordings with individuals not enrolled in the class or upload them to any other online environment.
Academic Integrity
As a member of the OU community, it is your responsibility to protect your educational investment by knowing and following the rules. 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.
Academic honesty is incredibly important within this course. Cheating is strictly prohibited at the University of Oklahoma, because it devalues the degree you are working hard to get. Should you know of someone else engaging in academic misconduct, please report it to your instructor or directly to the Office of Academic Integrity. Your instructor has a professional obligation to report 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.
Religious Observance
It is the policy of the University to excuse the absences of students that result from religious observances and to reschedule examinations and additional required classwork that may fall on religious holidays, without penalty. [See Faculty Handbook 3.15.2].
Reasonable Accommodation for Disabilities
The Accessibility and Disability Resource Center (ADRC) is committed to supporting students with disabilities to ensure that they are able to enjoy equal access to all components of their education. This includes your academics, housing, and community events.
If you are experiencing a disability, a mental/medical health condition that has a significant impact on one or more life functions, you can receive accommodations to provide equal access. Possible disabilities include but are not limited to learning disabilities, AD(H)D, mental health, and chronic health. Additionally, we support students with temporary medical conditions (broken wrist, shoulder surgery, etc.) and pregnancy.
To discuss potential accommodations, please contact the ADRC at 730 College Avenue, (phone) 405-325-3852, or adrc@ou.edu.
Title IX Resources
Anyone who has been impacted by gender-based violence, including dating violence, domestic violence, stalking, harassment, and sexual assault, deserves access to resources so that they are supported personally and academically.
The University of Oklahoma is committed to offering resources to those impacted, including: speaking with someone confidentially about your options, medical attention, counseling, reporting, academic support, and safety plans. If you would like to speak with someone confidentially, please contact OU Advocates (available 24/7 at 405-615-0013) or another confidential resource (see "Can I make an anonymous report?").
You may also choose to report gender-based violence and discrimination through other means, including by contacting the Institutional Equity Office (ieo@ou.edu, 405-325-3546) or the police (911).
Because the University of Oklahoma is committed to the safety of you and other students, I, as well as other faculty, Graduate Assistants, and Teaching Assistants, are mandatory reporters. This means that we are obligated to report gender-based violence that has been disclosed to us to the Institutional Equity Office. This includes disclosures that occur in class discussions, writing assignments, discussion boards, emails, and during Student/Office Hours.
For more information, please visit the Institutional Equity Office.
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.
Mental Health Support Services
If you are experiencing any mental health issues that are impacting your academic performance, counseling is available at the University Counseling Center (UCC). The Center is located on the second floor of the Goddard Health Center, at 620 Elm Rm. 201, Norman, OK 73019. To schedule an appointment, call 405-325-2911. For more information, please visit the University Counseling Center.
Final Exam Preparation Period
Pre-finals week will be defined as the seven calendar days before the first day of finals. Faculty may cover new course material throughout this week. For specific provisions of the policy please refer to OU's Final Exam Preparation Period policy.
Required Policies for Students On Campus
Emergency Protocol
During an emergency, there are official university procedures that will maximize your safety.
Severe Weather: If you receive an OU Alert to seek refuge or hear a tornado siren that signals severe weather:
- Look for severe weather refuge location maps located inside most OU buildings near the entrances
- Seek refuge inside a building. Do not leave one building to seek shelter in another building that you deem safer. If outside, get into the nearest building.
- Go to the building’s severe weather refuge location. If you do not know where that is, go to the lowest level possible and seek refuge in an innermost room. Avoid outside doors and windows.
- Get in, Get Down, Cover Up.
- Wait for official notice to resume normal activities.
Additional Weather Safety Information is available through the Department of Campus Safety.
Severe Weather Preparedness Video
Armed Subject/Campus Intruder
If you receive an OU Alert to shelter-in-place due to an active shooter or armed intruder situation or you hear what you perceive to be gunshots:
- Avoid: If you believe you can get out of the area without encountering the armed individual, move quickly towards the nearest building exit, move away from the building, and call 911.
- Deny: If you cannot flee, move to an area that can be locked or barricaded, turn off lights, silence devices, spread out, and formulate a plan of attack if the shooter enters the room.
- Defend: As a last resort fight to defend yourself. For more information, visit:
OU's Emergency Preparedness site
Shots Fire on Campus Procedure
Fire Alarm/General Emergency
If you receive an OU Alert that there is danger inside or near the building, or the fire alarm inside the building activates:
- Leave the building. Do not use the elevators.
- Know at least two building exits
- Assist those that may need help
- Proceed to the emergency assembly area
- Once safely outside, Notify first responders of anyone that may still be inside the building due to mobility issues.
- Wait for official notice before attempting to re-enter the building.
Course Summary:
| Date | Details | Due |
|---|---|---|