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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 30.00
Prerequisites Financial Engineering on honours level
Contact time 1 lecture per week
Language of tuition English
Academic organisation Mathematics and Applied Maths
Period of presentation Year
The information published here is subject to change and may be amended after the publication of this information. The General Regulations (G Regulations) apply to all faculties of the University of Pretoria. It is expected of students to familiarise themselves well with these regulations as well as with the information contained in the General Rules section. Ignorance concerning these regulations and rules will not be accepted as an excuse for any transgression.

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