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Nov 23, 2024
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ACS 4740 - Quantitative Risk Management3 lecture hours 0 lab hours 3 credits
Course Description
This is an advanced undergraduate course in risk management. The objective is to introduce concepts and ideas in modern risk management with a particular emphasis on risk measures and dependence structures between loss distributions. Moreover, current developments in insurance and financial markets will be addressed. (prereq: ACS 3410 , ACS 3740 , and MTH 2620 ) (quarter system prereq: Actuarial Science program director consent)
Course Learning Outcomes
Upon successful completion of this course, the student will be able to:
- Evaluate loss and return of financial positions
- Explain the meaning of loss distributions and identify characteristics of loss distributions
- Understand mathematical concepts in defining a risk measure or a performance measure
- Distinguish risk measures from performance measures
- Explain and verify axioms of coherent risk measures
- Utilize mathematical techniques to determine capital reserves for financial positions
- Understand how the dependence structure within a portfolio affects capital reserves
- Explain copula models and their advantages
- Identify appropriate copula models based on characteristics of empirical data
- Measure dependence between two loss distributions
- Analyze the risk profile of financial positions and propose capital requirements
- Communicate effectively in written and verbal forms
Prerequisites by Topic
- Probability
- Risk-neutral pricing
- Time series
Course Topics
- Loss and return
- Loss distributions
- Coherent risk measures
- Performance measures
- Capital reserves
- Copula models
- Dependence measures
Coordinator
Dr. Yu-Sin Chang
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