ESI 6352

Financial Optimization Case Studies

3 Credits

Quantitative analysis of financial systems. Optimization case studies in finance and risk management. Statistical analysis of risk management and financial systems. Portfolio optimization: Value-at-Risk (quantile), Conditional Value-at-Risk (Expected Shortfall), Drawdown, Hedging. Calibration of distribution and application to CDO pricing.

Prerequisites & course information

Grading Scheme: Letter Grade Prerequisite: There are no formal prerequisites for the course. The course requires knowledge of basic statistical concepts (probability distributions, linear regression). Familiarity with optimization (linear programming). Familiarity with high level programming languages, which can be used for data analysis (e.g., with MATLAB or R).

Sources

Course catalogue ↗2025-2026