Overview
Offerings
Rules
Contacts
Chief Examiner(s)
Unit Coordinator(s)
Learning outcomes
Apply different aspects of the theory and practice of risk modelling for financial institutions.
Understand different types of financial risks such as market, credit, and operational.
Estimate various risk measures such as Value-at-Risk and Expected Shortfall for different type of risks of a financial institution.
Construct and estimate various volatility processes such as ARCH and GARCH.
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)
Understand tail risk concept and quantify it based on either heavy tail distributions approach or extreme value theory.
Teaching approach
Assessment
Scheduled and non-scheduled teaching activities
Workload requirements
Other unit costs
Costs are indicative and subject to change.
Miscellaneous items required (Printing, Stationery) - $100.