37009 Risk Management8cp
Requisite(s): 24 credit points of completed study in spk(s): STM91543 Core Subjects (Mathematics)
These requisites may not apply to students in certain courses. See access conditions.
Anti-requisite(s): 25878 Risk Management
This subject provides a comprehensive and rigorous exposition of the theory and practice of financial risk measurement and management. It focuses on tools and techniques for identifying, measuring and managing market risk. It covers the value-at-risk measure and expected shortfall. 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 of the various approaches to quantifying the market risk of large portfolios consisting of various financial instruments. The subject also introduces credit risk models and provide an overview of liquidity risk. Issues in measuring operational risk are explored.
Detailed subject description.