The aims of this course are: • To provide a thorough grounding in the wide range of risks that a financial institution or other enterprise might be exposed to • To provide an introduction to the statistical methods underpinning financial risk management • To teach students the different methods of assessing financial risk • To equip students with a variety of tools to tackle problems involving financial data
1. Provide quantitative approach to risk management problems (1.1 Using statistical and risk management tools.)
2. Modeling univariate financial returns (2.1 with statistical parametric models and time series models)
3. Estimating the extreme losses and understanding the role of dependence among risks (3.1 with extreme value theory and copula theory)
4. Credit risk modeling (4.1 Study main approaches to quantify credit risk)
5. Risk transfer techniques (5.1 Reinsurance and alternativere risk transer tecniques such as Cat bonds)
By the end of the course, students should be able to do the following:
Curriculum explorer: Click here
SCQF Level: 11
Credits: 15