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Quantitative risk management 833


 
Modulekode WTW 833
Kwalifikasie Postgraduate
Fakulteit Faculty of Natural and Agricultural Sciences
Module-inhoud

*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.
Modulekrediete 1.00
NQF Level 09
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
Die inligting wat hier verskyn, is onderhewig aan verandering en kan na die publikasie van hierdie inligting gewysig word.. Die Algemene Regulasies (G Regulasies) is op alle fakulteite van die Universiteit van Pretoria van toepassing. Dit word vereis dat elke student volkome vertroud met hierdie regulasies sowel as met die inligting vervat in die Algemene Reëls sal wees. Onkunde betrefffende hierdie regulasies en reels sal nie as ‘n verskoning by oortreding daarvan aangebied kan word nie.

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