Department of Economics, Mathematics and Statistics
BUEM042H7 (15 credits)
Full-Time and Part- Time Year 1/2
Lecturers to be announced
Course Aims and Objectives
The course provides an introduction to modern risk management theory and practice. Students will develop problem-solving skills in risk management applications and become conversant with up-to-date techniques employed by financial institutions.
More in detail, this module aims to:
- provide students with the knowledge of statistical techniques applicable to measuring risk in portfolios;
- enable students to apply these techniques in practice;
- make students acquainted with standard risk models and to have a thorough critical understanding of the strengths and weaknesses of these models.
Outline of Topics
- The Basel proposals for bank capital requirements
- Backtesting Risk Models
- Credit risk modeling including Credit-VaR
- Modelling Volatility and Correlation using GARCH techniques
- Strategic Asset Allocation
- Tactical asset allocation
- Performance measurement
- Hedge fund risk
- Risks associated to the choice of model and the liquidity of the market
A two-hour examination in June.
To be announced.
Printed from: http://www.ems.bbk.ac.uk/courses/msc_pgdip/msc_finance/RiskManagement
Date printed: 25/05/2013