MA 677

Quantitative Fin& 39 l Risk Mgmt

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This course will introduce students to a variety of topics in risk management. 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: MA570 or equivalent and MA507 or MA571 or equivalent. Exclusions: MA477, MA686I.

This course will introduce students to a variety of topics in risk management. 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: MA570 or equivalent and MA507 or MA571 or equivalent. Exclusions: MA477, MA686I.

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This course will introduce students to a variety of topics in risk management. 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: MA570 or equivalent and MA507 or MA571 or equivalent. Exclusions: MA477, MA686I.

MA 677

Quantitative Fin& 39 l Risk Mgmt

0%Liked

Easy

0%

Useful

0%

0 ratings

This course will introduce students to a variety of topics in risk management. 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: MA570 or equivalent and MA507 or MA571 or equivalent. Exclusions: MA477, MA686I.

This course will introduce students to a variety of topics in risk management. 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: MA570 or equivalent and MA507 or MA571 or equivalent. Exclusions: MA477, MA686I.

0%Liked

Easy

0%

Useful

0%

0 ratings

This course will introduce students to a variety of topics in risk management. 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: MA570 or equivalent and MA507 or MA571 or equivalent. Exclusions: MA477, MA686I.