Fiches de cours

Quantitative risk management

FIN-417

Enseignant(s) :

Malamud Semyon

Langue:

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

Dans les plans d'études

Semaine de référence

 LuMaMeJeVe
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     
 
      Cours
      Exercice, TP
      Projet, autre

légende

  • Semestre d'automne
  • Session d'hiver
  • Semestre de printemps
  • Session d'été
  • Cours en français
  • Cours en anglais
  • Cours en allemand