Risk Management

Course Description

Risk Management…

 

Course Outline

Session Topics Readings Homeworks
1 Risk overview: market, liquidity, credit, operational, and all that Lecturer handout hw1
2 Quantitative risk analysis Lecturer handout hw2
3 Value-at-Risk (VaR) Lecturer handout hw3
4 VaR for linear portfolios Lecturer handout hw4
5 VaR for non-linear portfolios Lecturer handout hw5
6 Forecasting volatilities and correlations Lecturer handout hw6
7 Backtesting VaR models Lecturer handout hw7
8 Building risk management systems Lecturer handout hw8
9 Basics of multivariate modeling, regression analysis, discriminant analysis Lecturer handout hw9
10 VaR using multivariate Normal distribution, non-Normal multivariate distributions, PCA Lecturer handout hw10
11 Extreme value theory (EVT) Lecturer handout hw11
12 Managing risk using EVT Lecturer handout hw12

 

Recommended Readings

  1. Modelling Extremal Events: for Insurance and Finance, Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch