|Module code||WTW 712|
|Faculty||Faculty of Natural and Agricultural Sciences|
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.
|Prerequisites||Enrolment for WTW 732 required.|
|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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