Risk analytics
HEC-501 / 6 credits
Teacher(s): Gallay Olivier, Profs divers *
Language: English
Remark: MA3 only - Courses given on UNIL Campus
Summary
The course addresses risk management of extreme events. Models for extreme events are presented, as well as tools for risk measurements. Applications include evaluating risk in the fields of finance, insurance, meteorology and environment, from time series data and others.
Content
Topics:
Time series
- ARMA processes
- GARCH processes
Extreme value theory
- Block maxima
- Peaks over threshold
Risk measures
- Return level
- Value at risk
- Expected shortfall
Learning Prerequisites
Required courses
Assessment methods
Evaluation:
- 3 practicals have to be done during the semester, handed in in a report
- a presentation of the 3rd practical take place the last week
- the final grade is 0.5 * report grade + 0.5 * presentation grade
In the programs
- Semester: Fall
- Exam form: During the semester (winter session)
- Subject examined: Risk analytics
- Courses: 4 Hour(s) per week x 14 weeks
- Type: optional
Reference week
| Mo | Tu | We | Th | Fr | |
| 8-9 | |||||
| 9-10 | |||||
| 10-11 | |||||
| 11-12 | |||||
| 12-13 | |||||
| 13-14 | |||||
| 14-15 | |||||
| 15-16 | |||||
| 16-17 | |||||
| 17-18 | |||||
| 18-19 | |||||
| 19-20 | |||||
| 20-21 | |||||
| 21-22 |
Légendes:
Lecture
Exercise, TP
Project, Lab, other