Quantitative Risk Management

Subject:

Actuarial Science (ACTSC)

Catalog number:

634

Unit weight:

0.50

Meet type:

LEC,TUT

Grading basis:

NUM

Cross-listing(s):

N/A

Requisites:

Master of Actuarial Science Students onlyDepartment Consent Required

Description:

This course combines enterprise and quantitative risk management to provide a comprehensive coverage of risk management science with applications in finance, insurance and corporate governance. Topics covered include: risk taxonomy; risk measures; extreme value theory; copulas; stress and scenario testing; interest rate risk management, credit risk management; regulation, including Basel, Basel 3 and Solvency 2; risk adjusted return; capital allocation.

Topic titles:

N/A

Faculty:

Mathematics (MAT)

Academic level:

GRD

Course ID:

013402