杏吧论坛

Daniela Escobar

This course is compulsory on the MSc in Quantitative Methods for Risk Management. This course is available on the Global MSc in Management, Global MSc in Management (CEMS MiM), Global MSc in Management (MBA Exchange), MSc in Data Science, MSc in Financial Mathematics, MSc in Statistics (Financial Statistics), MSc in Statistics (Financial Statistics) (杏吧论坛 and Fudan) and MSc in Statistics (Financial Statistics) (Research). This course is available as an outside option to students on other programmes where regulations permit.

Students must have completed Probability, Distribution Theory and Inference (ST202) and Stochastic Processes (ST302).

ST202, ST302, or equivalent

A self-contained introduction to probabilistic and statistical methods in risk management. This course starts with risk factors models and loss distributions, which are illustrated via examples in stocks, derivatives, and bonds portfolios. Axioms of coherent risk measures are introduced. Value at risk and other risk measures are introduced and their relation with coherent risk measures is discussed. Multivariate factor models are introduced and analysed: covariance and correlation estimations, multivariate normal distributions and their testing, normal mixture distributions and their fitting to data. The theory of copulas is introduced: meta distributions, tail dependence, fitting copulas to data. Some limitations of copulas are also discussed. The extreme value theory is introduced: generalized extreme value distribution, threshold exceedances and generalized Pareto distribution, modelling and measures of tail risk. Applications to insurance with large loss are also discussed. Students will be exposed to financial data via sets of computer-based classes and exercises.

20 hours of lectures and 10 hours of seminars in the MT.

Week 6 will be used as a reading week.

A set of exercises which are similar to problems appearing in the exam will be assigned. A set of coding exercises which are similar to examples in computer lab sessions will be assigned.

A.McNeil, R.Frey, P.Embrechts, Quantitative Risk Management: Concepts, Techniques, Tools; Princeton Series in Finance

Exam (75%, duration: 2 hours) in the January exam period.
Project (25%, 2000 words).