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May 09, 2024
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FINN 6216 - Quantitative Risk Management
The quantitative techniques and tools for the risk management, beginning with basic concepts and methodologies. Topics include: risk measures such as VaR and Expected Shortfall, univariate and multivariate models, copulas and tail dependence in risk management framework, and back testing. Also discusses how to estimate VaR and Expected Shortfall parametrically, semi parametrically and nonparametrically.
Credit Hours: (3)
Prerequisite(s): FINN 6203 or permission of department.
Schedule of Classes
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