- Lecturer: Nazem Khan
Course Term: Hilary
Course Lecture Information: 8 lectures
Course Overview:
This course is designed to provide a comprehensive understanding of quantitative methods used in financial risk management.
OUTLINE
Typology of financial risks
Risk Measures.
Market Risk.
Measuring and managing risk for portfolios with derivatives.
Credit risk and counterparty risk.
Liquidity Risk.
Model uncertainty and "model risk".
Risk management failures and fiascoes.
RESOURCES
Alexander J. McNeil, Rüdiger Frey and Paul Embrechts (2015)
Quantitative Risk Management: Concepts, Techniques and Tools}, Princeton University Press.
https://www.qrmtutorial.org/
Thierry Roncalli Handbook of Financial Risk management, CRC Press.
Robert Jarrow (2015) The Economic Foundations Of Risk Management: Theory, Practice, And Applications, World Scientific.
https://solo.bodleian.ox.ac.uk/permalink/44OXF_INST/35n82s/alma990214272970107026
The Encyclopedia of Quantitative Finance, Wiley, 2010.
https://onlinelibrary.wiley.com/page/book/10.1002/9780470061602/homepage/editorscontributors.html
OUTLINE
Typology of financial risks
Risk Measures.
Market Risk.
Measuring and managing risk for portfolios with derivatives.
Credit risk and counterparty risk.
Liquidity Risk.
Model uncertainty and "model risk".
Risk management failures and fiascoes.
RESOURCES
Alexander J. McNeil, Rüdiger Frey and Paul Embrechts (2015)
Quantitative Risk Management: Concepts, Techniques and Tools}, Princeton University Press.
https://www.qrmtutorial.org/
Thierry Roncalli Handbook of Financial Risk management, CRC Press.
Robert Jarrow (2015) The Economic Foundations Of Risk Management: Theory, Practice, And Applications, World Scientific.
https://solo.bodleian.ox.ac.uk/permalink/44OXF_INST/35n82s/alma990214272970107026
The Encyclopedia of Quantitative Finance, Wiley, 2010.
https://onlinelibrary.wiley.com/page/book/10.1002/9780470061602/homepage/editorscontributors.html