Quantitative risk management

FIN-417 / 4 credits

Teacher: Filipovic Damir

Language: English

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
  • Risk aggregation and diversification

     

Keywords

risk management, copula, diversification, credit risk

Learning Prerequisites

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

  • Use a work methodology appropriate to the task.

Teaching methods

  • Lectures
  • Exercises
  • Homework

Expected student activities

active attendance at lectures, completing exercises

Assessment methods

  • 40% midterm exam
  • 60% final exam

Resources

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

Ressources en bibliothèque

Moodle Link

In the programs

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

Reference week

Related courses

Results from graphsearch.epfl.ch.