Quantitative Risk Management

Teacher(s)

Hafner Christian;

Language

English

Prerequisites

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

The prerequisite(s) for this Teaching Unit (Unité d’enseignement – UE) for the programmes/courses that offer this Teaching Unit are specified at the end of this sheet.

Main themes

Analysis of various risks in financial and alternative markets

Aims

At the end of this learning unit, the student is able to :
1	Ability to evaluate and assess quantitative risks

The contribution of this Teaching Unit to the development and command of the skills and learning outcomes of the programme(s) can be accessed at the end of this sheet, in the section entitled “Programmes/courses offering this Teaching Unit”.

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.

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.

Evaluation methods

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

Bibliography

Les transparents se basent principalement sur

• Franke, J., Haerdle, W. and Hafner, C. (2012) Statistics of Financial Markets, an Introduction, 3rd edition, New York: Springer.
• McNeil, A.J., Frey, R. and Embrechts, P. (2005), Quantitative Risk Management: Concepts, Techniques, and Tools, Princeton UP Series in Finance.

Faculty or entity

LSBA