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

Coordinator
Dr. Yu-Sin Chang

Announcement

The Raider Return

Milwaukee School of Engineering

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AC 3204 - Quantitative Risk Management