FINN 6216. Quantitative Risk Management. (3)

Prerequisite: FINN 6203 & ECON 613 or MATH 6203 or permission of Program Director. This course offers the quantitative techniques and tools for the risk management. It starts with the basic concepts and methodologies. Topics include risk measures such as VaR and Expected Shortfall, univariate and multivariate models, copulas and tail dependence in risk management framework, and back testing. This course also discusses how to estimate VaR and Expected Shortfall parametrically, semi parametrically and non-parametrically. (Spring)

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