Risk analytics
HEC-501 / 6 crédits
Enseignant: 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 covered:
- Time series
- ARMA processes
- GARCH processes
- Extreme value theory
- Block maxima
- Peaks over threshold
- Risk measures
- Return level
- Value at risk
- Expected shortfall
Assessment methods
Evaluation:
- 3 practicals have to be done during the semester, handed in in a report
- a presentation of the 3rd practical takes 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
Lu | Ma | Me | Je | Ve | |
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:
Cours
Exercice, TP
Projet, Labo, autre
Jeudi, 12h - 16h: Cours