Quantitative Financial Risk Management


Course Objective

Deep understanding and ability to implement modern quantitative risk
measurement and management techniques, in the areas of market,
operational and liquidity risk.

Course Content

The lecturers are Dr. S. Borovkova, an expert on derivatives and
quantitative risk
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
programming experience.

Teaching Methods

Lectures (4 hours per week) and practice sessions (2 hours a week)

Method of Assessment

2 practical assignments and written exam

Entry Requirements

Course on Investments or another, similar Finance-related course is
necessary to follow this course. Solid background in advanced
statistics, probability and programming is necessary.


Embrechts, Frey and McNeal "Quantitative Risk Management"

Recommended background knowledge

Introductory 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

General Information

Course Code E_FIN_QFRM
Credits 6 EC
Period P5
Course Level 400
Language of Tuition English
Faculty School of Business and Economics
Course Coordinator dr. S.A. Borovkova
Examiner dr. S.A. Borovkova
Teaching Staff dr. S.A. Borovkova

Practical Information

You need to register for this course yourself

Last-minute registration is available for this course.

Teaching Methods Seminar, Lecture
Target audiences

This course is also available as: