Due to the COVID-19 crisis, the information below is subject to change,
in particular that concerning the teaching mode (presential, distance or in a comodal or hybrid format).
5 credits
30.0 h
Q2
Teacher(s)
Hafner Christian;
Language
English
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 |
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
Due to the COVID-19 crisis, the information in this section is particularly likely to change.
Several practical assignments, to be solved on the computer, will beused to guideline the students throughout the class. The assignments
will be evaluated.
Evaluation methods
Due to the COVID-19 crisis, the information in this section is particularly likely to change.
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.
Teaching materials
- transparents sur moodle
Faculty or entity
LSBA
