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Quantitative Risk - MATH2881 | ||||||||||||||||||||||||||||||||||||||||||||
Description This course introduces the methods used in banks and financial institutions to measure and mitigate their risk, especially in the regulatory framework of Basel II. Topics include: types of risk: market, credit, operational risk and their characteristics; the banking environment, regulation, and capital reserving; risk at the macro level; economic capital and RAROC; the VaR formalism; statistical issues on sensitivity to data: heavy tails, heteroskedasticity, mean reversion, robustness of correlation estimates; credit ratings; special problems of operational risk; combination of risks and attribution.
The assessment for the course will include a substantial teamwork project with presentation to the class, as well as an end-of-session exam.
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