Quantitative risk management
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
- Basics of risk management
- Standard statistical methods
- Multivariate risk factor models
- Modelling dependencies (correlation, copula)
- Dynamic EVT models
- Credit risk models
- Risk aggregation 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
- Use a work methodology appropriate to the task.
Teaching methods
- Lectures
- Exercises
- Homework
Expected student activities
active attendance at lectures, completing exercises
Assessment methods
- 40% midterm exam
- 60% 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
- Quantitative Risk Management / McNeil
- An Introduction to Statistical Modeling of Extreme Values / Coles
- Statistical Models / Davison
- Analysis of Financial Times Series / Tsay
Moodle Link
In the programs
- Semester: Fall
- Exam form: Written (winter session)
- Subject examined: Quantitative risk management
- Courses: 2 Hour(s) per week x 14 weeks
- Exercises: 2 Hour(s) per week x 14 weeks
- Type: mandatory
- Semester: Fall
- Exam form: Written (winter session)
- Subject examined: Quantitative risk management
- Courses: 2 Hour(s) per week x 14 weeks
- Exercises: 2 Hour(s) per week x 14 weeks
- Type: mandatory
- Semester: Fall
- Exam form: Written (winter session)
- Subject examined: Quantitative risk management
- Courses: 2 Hour(s) per week x 14 weeks
- Exercises: 2 Hour(s) per week x 14 weeks
- Type: optional