Risk analytics

HEC-501 / 6 credits

Teacher: Profs divers *

Language: English

Remark: Courses given on UNIL Campus, only available to SMT students

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

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

Thursday, 12h - 16h: Lecture

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