Quantitative risk modelling is an essential part of modern risk management yet models are often misinterpreted and misused. This unit extends concepts taught in ECFS868 and is designed for anyone that uses or produces risk information (not just risk specialists). The aim is to build an understanding of risk modelling techniques, including an appreciation of their deficiencies; hence model risk is a focus of this unit. You will improve your modelling abilities and also your capacity to communicate complex technical information. <br/>Techniques include GARCH models (for changing volatility), simulation analysis and heavy-tailed distributions (for modelling extreme events). Market risk... -- Course Website
Instructor: Associate Professor Elizabeth Sheedy
Prerequisites: (Admission to MAppFin or PGCertAppFin) and ECFS868
