MA 477

Quant Financial Risk Mgmt

This course will introduce students to a variety of topics in risk management. The defining feature of this course is that it will cover topics that are not typically covered in the traditional mathematical finance curriculum. As such it will be an important differentiator for the program. Topics might include (but will not necessarily be limited to) some of the following. ● Introduction to risk measures such as value at risk (VaR), conditional tail expectation and expected shortfall. ● Introduction to credit scoring. ● Introduction to economic and regulatory capital modeling, especially as it relates to compliance with Basel III. ● Advanced treatment of hedging derivatives portfolios. ● Introduction to credit risk models such as the Merton and/or Black-Cox models, as well as linear factor models and alternative models of dependence (e.g. copulae). Prerequisites: MA270, ST260. Co-requisites: MA207 or MA307 or MA371.