Course Syllabus

Contact Information

Nick Pan.jpg

Office Hours: 6:30-7:00 pm before the class; after class for as long as needed; or by appointment.

Email: xpan@ou.edu

Live Session: Thursday 7:00-9:00 p.m. (Central)

https://oklahoma.zoom.us/j/94557800425?pwd=b0QEkyqYVdPcvmUr1XPs24OPd6qslS.1 

Meeting ID: 945 5780 0425 

Password: Prof.Pan

 

 

Xuhui (Nick) Pan, PhD

Assistant Professor of Finance

Price College of Business

Course Details

For a list of course activities, scroll to the bottom of this page.

Course Prerequisites 

It is better if you have taken the derivatives class (e.g., Futures and Options) and Investment to enroll. Basic knowledge of Microsoft Excel is essential.

Course Materials

Risk Management and Financial Institutions, fifth edition, by John Hull.

Coursepack for case studies: https://hbsp.harvard.edu/import/1224354

Grades

Breakdown

Activity Description Percentage
Class Contribution This 5% allocated mark is based on your professionalism as a student in the class. 5
Peer Evaluation The peers in your group for the assignments and the term project evaluate your performance. 5
Quiz There will be two quizzes with 15 minutes each in class; closed book; strictly individual work. This is to evaluate whether you are following the class well and to help you catch up with the course materials in time. 20
Group Term Project Suggested project topics, along with the grading criteria, will be handed out. Students are encouraged to work in groups of up to four (4) people to complete the term project. 30
Final Exam The exam will cover the materials on lecture slides, case studies, and assignments. Only the material covered in class will be on the test. 40
Total  100

Scale

Letter Grade Grade Range
A 90 - 100
B 80 - 89
C 70 - 79
D 60 - 69

Course Components

Class Contribution

This 5% allocated mark is based on your professionalism as a student in the class. Here are a few examples. Do you attend all the classes (by making your best effort)? Do you actively participate in class discussions and benefit other fellow students? Do you check your e-mail or browse the internet during the lecture? Do you treat your instructor and your peers with respect?

Peer Evaluation

The peers in your group for the assignments and the term project evaluate your performance. It counts for 5% of your total grade. The peer evaluation will be conducted confidentially. This is to encourage honest and hard work from each member of the group and to avoid free riding.

Quizzes

There will be two quizzes with 15 minutes each; closed book; strictly individual work. This is to evaluate whether you are following the class well and to help you catch up with the course materials in time. The weight of the quiz is 10% each. If you have to miss a quiz for valid reasons, the grade will be redistributed to the other quiz and the exam.

Assignments

I will regularly distribute in-class and out-of-class assignments. Submission of assignments is not required. But doing assignments will help you with the quiz and the exam. Plus, you might have the opportunity to earn bonus points!

Term Project

Suggested project topics, along with the grading criteria, will be handed out. Students are encouraged to work in groups of up to three (3) students to complete the term project. All groups will present the term project in class. Groups are pre-assigned by the instructor.

Final Exam

The exam will cover the materials on lecture slides, case studies, and assignments. Only the material covered in class will be on the test. You may use a formula sheet provided it has nothing except formulae on it.

Course Policies

Communication

Please send me an e-mail at xpan@ou.edu directly if you have any questions. I usually reply e-mails within a few hours from M-F. I check emails over the weekend. We can also schedule a Zoom meeting to talk if necessary.

Late Policy

I accept late work if students have valid reasons. Students must provide a written supporting documentation.

Tentative Schedule (Subject to Change)

Week Topics
Week 1
  • Hedging: Futures and Forwards
  • Case Study: Fuel Hedging at JetBlue Airways
Week 2
  • Manage Portfolio Risk
  • Simulation Exercise
Week 3
  • Hedging: Equity Options
  • Case Study: Hedge Fund Due Diligence at Leman Alternative Asset Management
  • Quiz 1
Week 4
  • Estimation of Volatility and Correlation
  • Introduction to modeling (e.g. RiskMetrics, GARCH)
Week 5
  • Value at Risk, Monte Carlo Simulation, Limitations and Extensions of VaR
  • Case Study: BP Amoco
Week 6
  • Credit Risk
  • Case Study: Credit Default Swaps on AMR Corporation
  • Quiz 2
Week 7
  • Term Project Presentation
  • Review of the Final Exam
Week 8
  • "The Trillion Dollar Bet": Failure of Long Term Capital Management
  • Group Discussion
  • Final Exam

 


University Academic Policies and Student Support

Access the University Academic Policies Document.