Regulatory framework, Risk measurement, Standard methods for market risks, Multivariate Models, Copulas and Dependence, Extreme Value Theory, Volatility Models and Risk Estimation, Realized Volatility
Introduction to MATLAB
Quantitative Risk Management, Concept, techniques and tools, McNeil, A., Frey, R. and Embrechts, P., Princeton Series in Finance
Learning Objectives
The student will be able to apply quantitative tools to measure risk in a multivariate setting, with a particular focus on market risk and volatility
Prerequisites
Calculus and Integration
Teaching Methods
Classes and exercises, Seminars
Type of Assessment
written
Course program
Regulatory framework, Risk measurement, Standard methods for market risks, Multivariate Models, Copulas and Dependence, Extreme Value Theory, Volatility Models and Risk Estimation, Realized Volatility
Introduction to MATLAB