Nov 21, 2024  
2024-2025 Undergraduate Academic Catalog-June 
    
Catalog Navigation
  Catalog Home
  Academic Calendar
  University Overview
  Admissions
  Student Financial Services
  Academic Regulations and Policies
  Degree Programs, Minors, and Certificates
  Degrees, Minors, and Certificates by Department
  Course Descriptions
  The Raider Core
  MSOE Honors Program
  Global Opportunities
  Reserve Officers’ Training Corps. (ROTC)
  Administration, Regents, and Advisory Committees
  Departments and Faculty
  Campus Map
  Student Resources
  My Portfolio
HELP
2024-2025 Undergraduate Academic Catalog-June
Facebook this Page (opens a new window)
Tweet this Page (opens a new window)
Add to Portfolio (opens a new window)

ACS 4740 - Quantitative Risk Management

3 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 , MTH 2620  (quarter system prereq: Actuarial Science program director consent)
Note: None
This course meets the following Raider Core CLO Requirement: None
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


Facebook this Page (opens a new window)
Tweet this Page (opens a new window)
Add to Portfolio (opens a new window)