Quantitative Risk Management

lactu2210  2020-2021  Louvain-la-Neuve

Quantitative Risk Management
Due to the COVID-19 crisis, the information below is subject to change, in particular that concerning the teaching mode (presential, distance or in a comodal or hybrid format).
5 credits
30.0 h
Q2
Teacher(s)
Language
English
Prerequisites
Basic classes in statistics (e.g. INGE1214) and quantitative finance
Main themes
Analysis of various risks in financial and alternative markets
Aims

At the end of this learning unit, the student is able to :

1 Ability to evaluate and assess quantitative risks
 

The contribution of this Teaching Unit to the development and command of the skills and learning outcomes of the programme(s) can be accessed at the end of this sheet, in the section entitled “Programmes/courses offering this Teaching Unit”.
Content
This class introduces the student to the methodology used in
quantitative risk management. The topics cover basic concepts in risk management, risk measures, multivariate models, financial time series
and measures of dependence. It will be focused on the statistical
aspects and practical implementation of the discussed techniques.
Teaching methods

Due to the COVID-19 crisis, the information in this section is particularly likely to change.

Several practical assignments, to be solved on the computer, will be
used to guideline the students throughout the class. The assignments
will be evaluated.
Evaluation methods

Due to the COVID-19 crisis, the information in this section is particularly likely to change.

Assignments (20%) and oral exam (80%)
Bibliography
Les transparents se basent principalement sur
  • Franke, J., Haerdle, W. and Hafner, C. (2012) Statistics of Financial Markets, an Introduction, 3rd edition, New York: Springer.
  • McNeil, A.J., Frey, R. and Embrechts, P. (2005), Quantitative Risk Management: Concepts, Techniques, and Tools, Princeton UP Series in Finance.
Teaching materials
  • transparents sur moodle
Faculty or entity


Programmes / formations proposant cette unité d'enseignement (UE)

Title of the programme
Sigle
Credits
Prerequisites
Aims
Master [120] en sciences mathématiques

Master [120] en sciences actuarielles

Master [120] : ingénieur civil en mathématiques appliquées

Master [120] en statistique, orientation générale