MA677
Quantitative Financial Risk Management
0.5 Credit

This course will introduce students to a variety of topics in risk management. Topics might include (but will not necessarily be limited to) some of the following: 

• introduction to risk measures such as the value at risk (VaR), conditional tail expectation and expected shortfall 
• Introduction to credit scoring
• Introduction to economic and regulatory capital modeling, especially as it relates to compliance with Basel III
• Advanced treatment of hedging derivatives portfolios
• Introduction to credit risk models such as the Merton and/or Black-Cox models, as well as linear factor models and alternative models of dependence (e.g., copulae).