Quantitative Risk Management [ LACTU2210 ]

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

Analysis of various risks in financial and alternative markets

Ability to evaluate and assess quantitative risks

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

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

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.

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