MATH 510. Quantitative Risk Management.
Credits: 4
Offered by: Mathematics and Statistics (Faculty of Science)
This course is not offered this catalogue year.
Description
Basics concepts in quantitative risk management: types of financial risk, loss distribution, risk measures, regulatory framework. Empirical properties of financial data, models for stochastic volatility. Extreme-value theory models for maxima and threshold exceedances. Multivariate models, copulas, and dependence measures. Risk aggregation.
- Prerequisites: (MATH 323 or MATH 356 or equivalent) and (MATH 324 or MATH 357 or equivalent)