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Coursebooks
Quantitative risk management
FIN-417
Lecturer(s) :
Malamud SemyonLanguage:
English
Remarque
Only in MA3Summary
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
- Basics of risk management
- Standard statistical methods
- Multivariate risk factor models
- Modelling dependencies (correlation, copula)
- Dynamic EVT models
- Credit risk models
- Aggregate risk and diversification
Keywords
risk management, copula, diversification, credit risk
Learning Prerequisites
Recommended courses
- Calculus and Linear Algebra (undergraduate level)
- Statistics and Probability (first university course)
- Some knowledge of financial derivatives
- Previous experience with Matlab is very useful
Learning Outcomes
By the end of the course, the student must be able to:- Use the main statistical tools used to model financial risk
- Conduct important volatility and credit risk models
- Identify and apply appropriate tools to describe and quantify the risk of a portfolio
Transversal skills
- Evaluate one's own performance in the team, receive and respond appropriately to feedback.
Teaching methods
- Lectures
- Homework
Assessment methods
- Homework
- Mid-term Exam
- Final Exam
Resources
Bibliography
- Quantitative Risk Management - McNeil, Frey, Embrechts (primary reference)
- An Introduction to Statistical Modeling of Extreme Values - Coles
- Analysis of Financial Times Series - Tsay
- Statistical Models - Davison
Ressources en bibliothèque
In the programs
- Financial engineering, 2018-2019, Master semester 1
- SemesterFall
- Exam formWritten
- Credits
4 - Subject examined
Quantitative risk management - Lecture
2 Hour(s) per week x 14 weeks - Exercises
2 Hour(s) per week x 14 weeks
- Semester
- Financial engineering, 2018-2019, Master semester 3
- SemesterFall
- Exam formWritten
- Credits
4 - Subject examined
Quantitative risk management - Lecture
2 Hour(s) per week x 14 weeks - Exercises
2 Hour(s) per week x 14 weeks
- Semester
Reference week
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Under construction
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