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
Teaching approach
Active learning
Assessment
1 - Continuous assessment
2 - Final assessment - Exam (3 hours and 10 minutes)
Scheduled and non-scheduled teaching activities
Applied sessions
Seminars
Workload requirements
Workload
Other unit costs
Costs are indicative and subject to change.
Miscellaneous items required (Printing, Stationery) - $100.