FIN-417 / 4 crédits

Enseignant: Malamud Semyon

Langue: Anglais

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.

## 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

## Assessment methods

• 30% Homework
• 70% Final Exam

## 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

## Dans les plans d'études

• Semestre: Automne
• Forme de l'examen: Ecrit (session d'hiver)
• Matière examinée: Quantitative risk management
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Semestre: Automne
• Forme de l'examen: Ecrit (session d'hiver)
• Matière examinée: Quantitative risk management
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Semestre: Automne
• Forme de l'examen: Ecrit (session d'hiver)
• Matière examinée: Quantitative risk management
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines

## Semaine de référence

 Lu Ma Me Je Ve 8-9 9-10 10-11 BS270 11-12 12-13 13-14 BS270 14-15 15-16 16-17 17-18 18-19 19-20 20-21 21-22

Mardi, 13h - 15h: Exercice, TP BS270

Lundi, 10h - 12h: Cours BS270