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

S2-01-CLAYTON-ON-CAMPUS

Rules

Enrolment Rule

Contacts

Chief Examiner(s)

Dr Hassan Fallahgoul

Unit Coordinator(s)

Dr Hassan Fallahgoul

Learning outcomes

On successful completion of this unit, you should be able to:
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.

Teaching approach

Active learning

Assessment

1 - In-semester assessment
2 - Examination (3 hours and 10 minutes)

Scheduled and non-scheduled teaching activities

Applied sessions
Lectures

Workload requirements

Workload

Other unit costs

Costs are indicative and subject to change.
Miscellaneous items required (Printing, Stationery) - $100.