Quantitative Risk Management

(4 Credit Hours) · Undergraduate

The module introduces the concept of financial risk and discusses the importance of its regulation. The emphasis is laid on the popular risk measure Value at Risk (VaR). After a brief discussion on asset returns, various modeling techniques - ranging from the simple Historical Simulation to the more advanced ARMA and GARCH models - are presented and applied for the calculation of VaR using real financial data. The aim of this module is to provide a solid basis in risk management for those students considering a career in finance.