MATH 510 Quantitative Risk Management (4 credits)

Offered by: Mathematics and Statistics (Faculty of Science)

Overview

Mathematics & Statistics (Sci) : Basics concepts in quantitative risk management: typesof financial risk, loss distribution, risk measures,regulatory framework. Empirical properties of financialdata, models for stochastic volatility. Extreme-valuetheory models for maxima and threshold exceedances.Multivariate models, copulas, and dependence measures.Risk aggregation.

Terms: Winter 2025

Instructors: Neslehova, Johanna (Winter)

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