3 credits
15.0 h
Q2
This learning unit is not being organized during year 2018-2019.
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.
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.
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
- Pilipovic, D. (2007) Energy Risk, second edition, McGraw Hill
- 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
