2.0

Average Course Rating

The course offers an introduction to financial risk management. Risk management is a complex process of identifying, measuring, and controlling risk exposure. The course will balance theory and practical application. Topics include market and credit risks, liquidity, and operational and legal risks, including volatility modeling, and derivatives as tools for controlling risk. Using modern econometric models, such as ARCH and GARCH, along with widely used quantitative methods (Monte Carlo simulation and Filtered Historical simulation), the course will describe how to measure and control risk exposure towards various types of risks, especially market and credit risk.