FIN 913 Advanced Quantitative Risk Management

Aim of Module

Subject of the course are concepts for measuring risk, quantitative methods for the management of market risks and credit risks and approaches to risk based performance management and capital allocation.

Learning Outcomes

After a successful completion of the course participants are familiar with the most important risk measures and their parametric/non-parametric estimation, with methods of calculating the value at risk of individual financial positions and portfolios of financial instruments, especially the delta-normal-method. They also have a knowledge of the notion of credit value at risk and the most important credit risk models. Finally they are familiar with the concept of return on risk adjusted capital (RORAC) and the fundamental approaches to capital allocation.

Prerequisites and Registration

The course assumes some knowledge of probability theory and statistics and as well some knowledge of financial instruments and their valuation, including risk neutral valuation. 

See CDSB course catalogue for information on the registration process.

Class Material

Lecture slides and exercise materials will be provided on ILIAS. 

Course Instructors

Evaluation Results