19 August 2016
Statistical Methods in Risk Management
The implementation of sound quantitative risk models is a vital task for all financial institutions, and this trend has accelerated in recent years after the last financial crisis. This course provides a self-contained introduction to both theoretical and practical implementation of various techniques in risk management. We draw on diverse quantitative disciplines, from probability to statistics, from actuarial science to quantitative finance. Main topics include: risk factor models, risk measures and their statistical estimation, multivariate factor models, dimensional reduction techniques, copulas, measure of dependence on extreme events. We work with real financial data and aim to provide hands-on experience on practical applications.
Dr Hao Xing
This course is designed for postgraduates and professionals who are interest in analytical techniques in risk management and who have some background in probability and statistics.
After completing this course students will:
Gain knowledge of important analytical techniques to measure risk in financial market.
Develop skills to implement these techniques on real financial data.
Gain experience transferring these techniques to other applications.
Students who wish to receive credit for their course will need to contact either their Study Abroad Office or the office in their university that deals with external credit. It is up to students' home institutions as to how much credit is awarded but the Methods Programme Office is happy to provide any necessary information to your registry or academic advisor, to help them evaluate the courses.
GBP 935: Student rate - available to current university students (including PhD students).
Academic staff and staff at UK charities are also eligible for a reduced rate of £1,320)
GBP 1660: Standard rate