This unit encompasses theoretical and practical aspects of quantification of three main types of financial risk, namely:<br/>- market risk – the risk of change in the value of position due to changes in underlying market variable;<br/>- credit risk – the risk of default of counterparty; and<br/>- operational risk – the risk of losses resulting from failed internal or external processes.<br/><br/>The numerical and statistical modelling techniques introduced in the unit represent the tools adopted by actuarial and banking business to comply with advanced regulatory requirements. -- Course Website
Instructor: Actuarial staff
Prerequisites: [(ACST306(P) or ACST816(P)) and (ACST307(P) or ACST817(P))] or ACST828(P) or STAT401(P) or STAT890(P) or admission to MAppStat or PGDipAppStat
