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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.


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