FIN-417 / 4 credits

Teacher: Malamud Semyon

Language: English

Remark: MA3 only

## 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
• Aggregate risk and diversification

## Keywords

risk management, copula, diversification, credit risk

## 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.

• Lectures
• Homework

• 20% Project
• 40% mid-term
• 40% final

## 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

## In the programs

• Semester: Fall
• Exam form: Written (winter session)
• Subject examined: Quantitative risk management
• Lecture: 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
• Lecture: 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
• Lecture: 2 Hour(s) per week x 14 weeks
• Exercises: 2 Hour(s) per week x 14 weeks
• Type: optional

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