Risk analytics

HEC-501 / 6 crédits

Enseignant(s): Gallay Olivier, Profs divers *

Langue: Anglais

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

Dans les plans d'études

  • Semestre: Automne
  • Forme de l'examen: Pendant le semestre (session d'hiver)
  • Matière examinée: Risk analytics
  • Cours: 4 Heure(s) hebdo x 14 semaines
  • Type: optionnel

Semaine de référence

Cours connexes

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