Module code | WTW 712 |
Qualification | Postgraduate |
Faculty | Faculty of Natural and Agricultural Sciences |
Module content | An introduction to Markowitz portfolio theory and the capital asset pricing model. Analysis of the deficiencies in these methods. Sensitivity based risk management. Standard methods for Value-at-Risk calculations. RiskMetrics, delta-normal methods, Monte Carlo simulations, back and stress testing. |
Module credits | 15.00 |
Programmes | |
Prerequisites | Enrolment for WTW 732 required. |
Contact time | 1 lecture per week |
Language of tuition | Module is presented in English |
Academic organisation | Mathematics and Applied Maths |
Period of presentation | Year |
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