Quantitative Risk Management (QRM)

Course content

Risk measures; extreme value theory; multivariate distributions and dependence; copulas; credit modeling and operational risk modeling.

Education

MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics

Learning outcome

Knowledge:  By the end of the course, the student should develop an understanding of risk measures, including VaR and expected shortfall, and of stastistical methods from extreme value theory (including the Hill estimator and the POT method).  Also, the student should develop a thorough understanding of the various means for analyzing dependence, including elliptical distributions and copulas.  Moreover, the student should develop a thorough knowledge of some of the standard models used for credit risk modeling and operational risk modeling.

Skills:  The student should develop analytical and computational skills for computing VaR, expected shortfall, and for analyzing dependence and credit risk losses.

Competencies:  The student should be able to analyze risk in a variety financial settings and to compute VaR, expected shortfall, or other related risk measures in these contexts. The student should also be able to apply basic methods from extreme value theory to analyze these risks.  Moreover, the student should develop proficiency in analyzing dependent risks using, in particular, elliptical distributions or copulas.  Finally, the student should develop a competence in analyzing credit risk losses.

5 hours of lectures per week for 7 weeks.

VidSand2 concurrently, or equivalent.

ECTS
7,5 ECTS
Type of assessment
Oral examination, 30 minutes
No preparation time.
Aid
Without aids
Marking scale
7-point grading scale
Censorship form
No external censorship
Several internal examiners.
Criteria for exam assessment

The student must, in a satisfactory way, demonstrate that he/she has mastered the learning outcome.

Single subject courses (day)

  • Category
  • Hours
  • Exam
  • 1
  • Lectures
  • 30
  • Practical exercises
  • 10
  • Theory exercises
  • 50
  • Preparation
  • 115
  • English
  • 206