Quantitative Financial Risk Management

2019-2020
Dit vak wordt in het Engels aangeboden. Omschrijvingen kunnen daardoor mogelijk alleen in het Engels worden weergegeven.

Doel vak

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

Inhoud vak

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.

Onderwijsvorm

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

Toetsvorm

2 practical assignments and written exam

Vereiste voorkennis

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.

Literatuur

Embrechts, Frey and McNeal "Quantitative Risk Management"

Aanbevolen voorkennis

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

Algemene informatie

Vakcode E_FIN_QFRM
Studiepunten 6 EC
Periode P5
Vakniveau 400
Onderwijstaal Engels
Faculteit School of Business and Economics
Vakcoördinator dr. S.A. Borovkova
Examinator dr. S.A. Borovkova
Docenten dr. S.A. Borovkova

Praktische informatie

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