MTH5510 · Quantitative risk management

Overview

Basic concepts of risk management and risk measures. Multivariate models. Copulas and dependence. Financial time series. Volatility models such as ARCH and GARCH processes. Aggregate risk. Extreme value theory. Market, credit, and operational risk models. Regulation and practice.

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

Learning outcomes

1. Apply different aspects of the theory and practice of risk modelling for financial institutions.
2. Understand different types of financial risks such as market, credit, and operational.
3. Estimate various risk measures such as Value-at-Risk and Expected Shortfall for different type of risks of a financial institution.
4. Construct and estimate various volatility processes such as ARCH and GARCH.
5. Construct a multivariate model and calibrate its parameters to real financial data either by a multivariate distribution (top-down approach) or copula (bottom-up approach).
6. Understand tail risk concept and quantify it based on either heavy tail distributions approach or extreme value theory.

Workload

• Two 1.5 -hour seminars; • One 1-hour applied class (in weeks 2-12) and • 8 hours of independent study per week

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