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FINE 635 Financial Risk Management (3 credits)

Offered by: Management (Desautels Faculty of Management)

Administered by: Graduate Studies

Overview

Finance : Latest techniques of market risk management including volatility and correlational modelling, extreme value theory, Monte Carlo simulation, historical simulation and filtered historical simulation. Option pricing with time varying volatility and option risk management. Backtesting and Stress testing.

Terms: Fall 2012

Instructors: Vadim di Pietro (Fall)

  • Prerequisite: FINE 646.