Course

Models for Risk Management - ACTL5301

Faculty: UNSW Business School

School: School of Risk and Actuarial Studies

Course Outline: ACTL5301 Course Outline

Campus: Sydney

Career: Postgraduate

Units of Credit: 6

EFTSL: 0.12500 (more info)

Indicative Contact Hours per Week: 3

Enrolment Requirements:

Pre-requisites: ACTL5103 AND ACTL5106

CSS Contribution Charge: 3 (more info)

Tuition Fee: See Tuition Fee Schedule

Further Information: See Class Timetable

View course information for previous years.

Description

This course explores quantitative methods of risk measurement and modelling in financial institutions, including insurers, reinsurers, superannuation funds, and banks, and the major types of risks encountered therein. Topics covered include: risk measures; multivariate models for risks; copulas and dependence models; extreme value theory and tails of losses; time series techniques. The links between the different modelling tools are explored, and are further illustrated with models used in different risk types. Together with ACTL5302 it is designed to cover the course topics for the professional actuarial Enterprise Risk Management/ CERA qualification.
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