University of Technology, Sydney

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25849 Financial Risk Management

Requisite(s): 25856 Probability Theory and Stochastic Processes
These requisites may not apply to students in certain courses. See access conditions.


This subject provides a comprehensive and rigorous exposition of the theory and practice of financial risk measurement and management. The subject focuses on tools and techniques for identifying, measuring, computing and managing market risk. It covers risk measures including value-at-risk, expected shortfall and earnings-at-risk. The concept of coherent risk measures are also explored. Parametric and non-parametric techniques, including historical and Monte Carlo simulation, are covered in depth. The subject consists of a large practical component involving implementing value-at-risk measures for realistic portfolios, combined with stress testing methods.

Detailed subject description.

Fee information

Information to assist with determining the applicable fee type can be found at Understanding fees.

Access conditions

Note: The requisite information presented in this subject description covers only academic requisites. Full details of all enforced rules, covering both academic and admission requisites, are available at access conditions and My Student Admin.