Coursebooks

Quantitative risk management

FIN-417

Lecturer(s) :

Malamud Semyon

Language:

English

Remarque

Only in MA3

Summary

This course is an introduction to quantitative risk management that covers standard statistical methods, multivariate risk factor models, non-linear dependence structures (copula models), as well as portfolio allocation and diversification.

Content

Keywords

risk management, copula, diversification, credit risk

Learning Prerequisites

Recommended courses

Learning Outcomes

By the end of the course, the student must be able to:

Transversal skills

Teaching methods

Assessment methods

Resources

Bibliography

Ressources en bibliothèque

In the programs

Reference week

 MoTuWeThFr
8-9     
9-10     
10-11BS260    
11-12    
12-13     
13-14 BS270   
14-15    
15-16     
16-17     
17-18     
18-19     
19-20     
20-21     
21-22     
 
      Lecture
      Exercise, TP
      Project, other

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  • Autumn semester
  • Winter sessions
  • Spring semester
  • Summer sessions
  • Lecture in French
  • Lecture in English
  • Lecture in German