The Measurement and Management of Market Risk I

Catalog description

This is the first in a sequence of two courses on financial market risk. This course coverskey aspects of market risk, with a special emphasis on the concept, measurement, and control of marketrisks by financial institutions in their risk management programs. Students will be introduced to models incurrent use, and will analyze the assumptions and mathematical background underlying them in depth.Topics covered include: the stochastic nature of securities returns, estimation approaches of value at risk(VaR), issues of portfolio aggregation, and correlation measurement and forecasting.