The University of New South Wales

go to UNSW home page

Undergraduate Handbook

PRINT THIS PAGE
Quantitative Risk - MATH2881
 The Red Centre

   
   
   
 
Campus: Kensington Campus
 
 
Career: Undergraduate
 
 
Units of Credit: 6
 
 
EFTSL: 0.12500 (more info)
 
 
Indicative Contact Hours per Week: 4
 
 
Enrolment Requirements:
 
 
Prerequisite: MATH1231 or MATH1241 or MATH1251 or a Credit in ECON1203.
 
 
Fee Band: 5 (more info)
 
 
Further Information: See Class Timetable
 
  

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.


URL for this page:

© The University of New South Wales (CRICOS Provider No.: 00098G), 2004-2011. The information contained in this Handbook is indicative only. While every effort is made to keep this information up-to-date, the University reserves the right to discontinue or vary arrangements, programs and courses at any time without notice and at its discretion. While the University will try to avoid or minimise any inconvenience, changes may also be made to programs, courses and staff after enrolment. The University may also set limits on the number of students in a course.