ETF5952 · Quantitative methods for risk analysis

Overview

This unit equips you with a comprehensive understanding and the practical skills necessary to identify, analyse, and manage financial risks. The unit builds on foundational statistical knowledge and introduces key financial concepts essential for risk management. Additionally, you will engage in hands-on exercises and projects to perform risk analysis and modelling using the R programming language, preparing them for professional roles in finance and risk management. No prior knowledge of R or programming is required.

Offerings

Assessment

The Handbook lists an examination for this unit.

Assessment details may change. Please refer to the assessment information in Moodle closer to the start of the teaching period.

Requisites

The Handbook lists no prerequisite, corequisite or prohibition for this unit.

Learning outcomes

1. identify and characterize risk using probability and statistics
2. quantify risk using measures such as Value-at-Risk (VaR) and Expected Shortfall (ES), and understand how risk affects investment decisions by applying the concepts of utility theory and risk-aversion
3. implement risk models, including historical simulation, Monte Carlo simulation, and volatility models, to compute risk measures and evaluate their effectiveness using backtesting and stress testing
4. apply theoretical knowledge and state-of-the-art quantitative techniques to real-world financial data using R and communicate risk analysis results clearly and effectively.

Workload

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. You are expected to complete all pre-class activities prior to your scheduled class, and post-class activities should be completed after your scheduled class. Learning activities may include a combination of teacher directed, peer directed and online engagement activities.

Student experience, not official rules. Nothing here changes what the Handbook says.