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Risk management in energy markets [ LACTU2250 ]


3.0 crédits ECTS  15.0 h  

Teacher(s) Hafner Christian ;
Language English
Place
of the course
Louvain-la-Neuve
Prerequisites

Basic classes in statistics (e.g. INGE1214) and quantitative finance

Main themes

Analysis of various risks in financial and alternative markets

Aims

Ability to evaluate and assess quantitative risks

Evaluation methods

Assignments (20%) and oral exam (80%)

Teaching methods

Several practical assignments, to be solved on the computer, will be used to guideline the students throughout the class. The assignments will be evaluated.

Content

This class introduces the student to the methodology used in
quantitative risk management. The topics cover basic concepts in risk management, risk measures, multivariate models, financial time series and measures of dependence. It will be focused on the statistical aspects and practical implementation of the discussed techniques.

Bibliography

« Quantitative Risk Management: Concepts, Techniques, and Tools » (2005) Alexander J. McNeil, Rüdiger Frey, and Paul Embrechts, Princeton Series in Finance.

Cycle et année
d'étude
> Master [120] in Actuarial Science
> Master [120] in Statistics: General
Faculty or entity
in charge
> LSBA


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