Aug 16, 2022  
2020-2021 Undergraduate Academic Catalog 
2020-2021 Undergraduate Academic Catalog [ARCHIVED CATALOG]

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AC 3204 - Quantitative Risk Management

4 lecture hours 0 lab hours 4 credits
Course Description
This is a fundamental course on quantitative risk management. The major concepts and ideas from modern risk management will be explained and illustrated. The course builds upon general theory of risk measures and performance measures and addresses the current development in financial markets. (prereq: MA 2410  and MA 2631  or program director’s consent)
Course Learning Outcomes
Upon successful completion of this course, the student will be able to:
  • Employ the basic principles of financial pricing in complete markets
  • Understand and implement the basic principles of quantitative risk management such as measuring the risk and measuring the performance of financial positions
  • Exploit the role of choosing a particular risk measure or performance measure to monitor the overall risk profile of a financial position or financial institution
  • Utilize various mathematical techniques for modeling portfolio value
  • Understand the mathematical concepts in defining a risk measure or a performance measure
  • Apply the above quantitative risk management methodologies to market data

Prerequisites by Topic
  • Algebra
  • Statistics
  • Probability

Course Topics
  • Basic concepts in valuation of financial positions
  • Basic concepts in risk management
  • Modeling portfolio value and its change
  • Theory of risk and performance measures
  • Applications

Dr. Yu-Sin Chang

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