1) Goals:
• Become familiar with the range of risks facing corporations, and how to measure and manage these risks
• Become familiar with the salient features of speculative asset returns
• Apply state-of-the-art risk measurement and risk management techniques
• Critically appraise commercially available risk management systems and contribute to the construction of tailor-made systems
• Understand the current academic and practitioner literature
2) Course outline:
Part 1 – Background
- Risk Management and Financial Returns
- Historical Simulations, Value-at-Risk and Expected Shortfall
- A Primer on Financial Time Series Analysis
Part 2 – Univariate Risk Models
- Volatility Modeling Using Daily Data
- Volatility Modeling Using Intraday Data
- Nonnormal Distributions
Part 3 – Multivariate Risk Models
- Covariance and Correlation Models
- Simulating the Term Structure of Risk
- Distributions and Copulas for Integrated Risk Management
Part 4 – Backtesting and Stress Testing