Course description

Quantitative Risk and Asset Management

Introduction

This course focuses on the management of risks in finance using advanced quantitative models and techniques. We start with the fundamental concepts of financial risk management and an analysis of the properties of financial time-series. We then move to the theory of extreme values and study multivariate models and copulas. The course covers how models and methods should be applied to general financial risk management but also focuses on credit risk and asset/liability management, issues that are paramount for banks and other financial institutions.

Course content

1. Risk management

   • Fundamentals of Risk Managements

   • Multivariate time series models

   • Risk measures

   • Copulas

   • Extreme value theory

   • Credit risk

2. Asset management

   • Portfolio choice and non-normality

   • Bayesian analysis and portfolio choice

   • Asset/liability management

   • Benchmark-relative optimization

Learning outcome knowledge

By the end of the course the students are expected to know:

  • Fundamentals of Risk Managements
  • Multivariate time series models suitable for risk and asset management
  • Standard risk measures
  • Copulas
  • Extreme value theory
  • Credit risk
  • Portfolio choice under non-normality
  • Bayesian analysis and portfolio choice
  • Asset/liability management
  • Benchmark-relative optimization

Exam organisation

  • Home exam: 50%
  • Written exam: 50%