Quantitative Risk and Portfolio Management
9 units (3-0-6)
Prerequisites: GE/ACM 118, BEM 105, or Ma 112.
An introduction to financial risk management. Concepts of Knightian risk and uncertainty; coherent risk; and commonly used metrics for risk. Techniques for estimating equity risk; volatility; correlation; interest rate risk; and credit risk are described. Discussions of fat-tailed (leptokurtic) risk, scenario analysis, and regime-switching methods provide an introduction to methods for dealing with risk in extreme environments.
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