Course Description
This course focuses on mathematical methods to analyze and manage risks associated with financial derivatives. Topics covered include aggregate loss distributions, extreme value theory, default probabilities, Value-at-Risk and expected shortfall, coherent risk measures, correlation and copula, applications of principle component analysis and Monte Carlo simulations in financial risk management, how to use stochastic differential equations to price financial risk derivatives, and how to back-test and stress-test models.
Spring 2025
Instructors
Meeting Patterns
Classes Start:
January 6, 2025
Classes End:
April 22, 2025
Location:
02102 SAS Hall
Class Days:
T H
Class Start Time:
11:45am
Class End Time:
1:00pm
Class Type:
Lecture
Credits:
3.00
Restrictions:
None
