5.00 credits
30.0 h
Q2
Teacher(s)
Hafner Christian;
Language
English
> French-friendly
> French-friendly
Prerequisites
Basic classes in statistics (e.g. INGE1214) and quantitative finance
Main themes
Analysis of various risks in financial and alternative markets
Learning outcomes
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, empirical properties of financial time series, volatility and dependence models, extreme value theory. 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, empirical properties of financial time series, volatility and dependence models, extreme value theory. It will be focused on the statistical
aspects and practical implementation of the discussed techniques.
Teaching methods
Exercises for each chapter, and practical assignments, to be solved on the computer, will be
used to guideline the students throughout the class. The assignments
will be evaluated.
used to guideline the students throughout the class. The assignments
will be evaluated.
Evaluation methods
Assignments (30%) and written exam (70%)
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
