Advanced Methods for Risk Management Practice

Course Description

Market risk measurement and management, value at risk (VaR) and other risk measures, parametric and non-parametric methods of estimation, VaR mapping, backtesting VaR, expected shortfall, extreme value theory, correlations and copulas, regression hedging, principal components analysis applied to hedging portfolios, interest rate risks, volatility smiles and term structures, credit risk measurement and management, quantitative methods in default risk, Merton model, credit scoring models, linear discriminant analysis, parametric discrimination, K nearest neighbor, support vector machines, credit derivatives, counterparty risk, structured credit risk, collateral management, credit VaR, structured finance and securitization, operational risk, enterprise risk management, modeling operational loss distributions, liquidity risk, risk appetite frameworks, risk-adjusted return on capital, economic capital frameworks and capital allocation, stress testing banks, performance of risk management systems, regulation and the Basel Accords, Frank Dodd, Anti-Money Laundering, Know-Your-Customer. Prerequisite: 16:958:590

Code

16:958:534

Credits

3

Subject

Statistics - Financial Statistics and Risk Management