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Quantitative Risk Analysis (STAT313)

Course description

This course covers measures that quantify major risk exposures arising from financial and non-financial risks, such as market risk, interest rate risk, liquidity risk, operational risk and model risk.   The topics include variance-covariance method, historical simulation, Monte Carlo, backtesting, statistical calibration strategies, GARCH models, copulas and extreme value theory.


Pre-requisites

Seminar Required

Graded, 1.0 Credit Units


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