Course co-ordinator(s): Professor Gareth Peters (Edinburgh), Professor Sergey Foss (Edinburgh).
Aims:
The aim of this course is to give students the opportunity to learn about recent developments in quantitative risk management and to give exposure to a number of topics that are not covered in taught modules.
It also prepares the students for dissertation projects.
Summary:
Summary
At the heart of the Special Topics are four equally weighted guided reading projects, two of which will normally include practical experience of Moody’s Economic Scenario Generator. The remaining two projects will be freely selected from the Scottish Financial Risk Academy?s annual portfolio of industry offered projects.
The projects are usually undertaken in the latter part of the semester, in the first 4-6 week students will be prepared for the projects through assessed guided reading including, but not limited to:
- Report writing
- Presentation skills
- Computational skills (simulation, R, the use of LaTex)
Examples of topics offered in in the past include:
- Retail Credit Risk (Royal Bank of Scotland)
- Banking Fundamentals (Royal Bank of Scotland)
- Trading Risk Models (Lloyds Banking Group)
- Counterparty Credit Risk (Credit Suisse)
- Asset Management (Aberdeen Asset Management)
- Real World Projections using the ESG (Moody’s Analytics)
- Liability Valuation using the ESG (Moody’s Analytics)
The projects involving the Moody’s Economic Scenario Generator (or similar financial software) covers the following topics:
- Architecture of integrated risk models
- Modelling interest rates in practice
- Modelling the macroeconomy in practice
- Modelling equities in practice
- Modelling credit risk in practice
- Modelling risk interactions and correlations
- Valuing risky assets in practice
- Integrated risk models for economic capital
- Integrated risk models for stress testing and scenario analysis
- Integrated risk models for decision making and management
Detailed Information
Course Description: Link to Official Course Descriptor.
Pre-requisites: none.
Location: Edinburgh.
Assessment Methods:
This course will be assessed by four pieces of coursework, two reports, and two presentations presentation that should be completed prior to the Semester 2 examination period. The essay should not normally exceed 10 pages, and presentations will be strictly limited to 20 minutes with 5-10 minutes for questions. If Moody’s Analytics ESG topics are offered, they are compulsory.
SCQF Level: 11.
Other Information
Help: If you have any problems or questions regarding the course, you are encouraged to contact the lecturer
VISION: further information and course materials are available on VISION