Quantitative risk management 833

Module code WTW 833
Qualification Postgraduate
Faculty Faculty of Natural and Agricultural Sciences
Module content

*Consult with the head of the department of Mathematics and Applied Mathematics about the availability of this master’s module in a particular year.
Risk in perspective. Traditional RiskMetrics. Methods to calculate VaR. Designing scenario analyses and stress analysis. Risk measures based on loss distributions. Aggregate risk measures which include coherent risk measures. Extreme value theory. Correlation, copulas and dependence. Credit risk management.

Module credits 0.00
Prerequisites Financial Engineering on honours level
Contact time 1 lecture per week
Language of tuition Module is presented in English
Department Mathematics and Applied Mathematics
Period of presentation Year

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