Course ObjectiveDeep understanding and ability to implement modern quantitative risk
measurement and management techniques, in the areas of market,
operational and liquidity risk.
Course ContentThe lecturers are Dr. S. Borovkova, an expert on derivatives and
management. We will focus on financial risks facing corporations and
financial institutions, such
as market, liquidity and model risks (note that credit risk is
handled in a separate course Credit, Complexity and Systemic Risk).
The course will encompass both
theoretical and applied aspects of risk management. This course will
give you a solid fundamental for measurement and management of financial
risks, knowledge of newest quantitative methods and the ability to apply
your knowledge in corporate environment. The lectures are complemented
by practical assignments designed to maximally match actual risk
management applications in banking environment. For this course you need
a strong quantitative focus and affiliation with statistics and
probability as well as (some) affiliation with finance, as well as solid
Teaching MethodsLectures (4 hours per week) and practice sessions (2 hours a week)
Method of Assessment2 practical assignments and written exam
Entry RequirementsCourse on Investments or another, similar Finance-related course is
necessary to follow this course. Solid background in advanced
statistics, probability and programming is necessary.
LiteratureEmbrechts, Frey and McNeal "Quantitative Risk Management"
Recommended background knowledgeIntroductory statistics and probability, implementation skills (Matlab,
R, Python or any other computer package)
Knowledge of main investments/asset pricing concepts, main concepts of
portfolios, interest rates, derivatives
|Language of Tuition||English|
|Faculty||School of Business and Economics|
|Course Coordinator||dr. S.A. Borovkova|
|Examiner||dr. S.A. Borovkova|
dr. S.A. Borovkova
You need to register for this course yourself
Last-minute registration is available for this course.
|Teaching Methods||Seminar, Lecture|
This course is also available as: