Course co-ordinator(s): Dr Giovanni Rabitti (Edinburgh).
Aims:
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
Detailed Information
Course Description: Link to Official Course Descriptor.
Pre-requisites: none.
Location: Edinburgh.
Semester: 1.
Syllabus:
Introduction
- The concept of Enterprise Risk Management, the drivers behind it and the resulting value to organisations
- Risk and uncertainty, different definitions
- Direct and indirect stakeholders in an enterprise: Relevance of risk measurement and management to all stakeholders
- Risk taxonomy and overlaps
Quantitative analysis of financial data
- Quantifiable and non-quantifiable risks
- Common univariate distributions, model fitting and diagnostic tests
- Extreme value theory
- Common multivariate distributions
- Modelling multivariate risks using copulas
- Different measures of correlation including tail correlation
- Risk measures; coherent risk measures
- Model and parameter risk
- Backtesting
Contagion and credit risk
- Sources of credit risk; contagion
- Theoretical and commercial approaches to modelling credit risk
Risk management
- Securitisation and alternative risk transfer
- The risk management control cycle
SCQF Level: 11.
Credits: 15.
Other Information
Help: If you have any problems or questions regarding the course, you are encouraged to contact the course leader.
Canvas: further information and course materials are available on Canvas