The main goal of this course is to give students the necessary statistical instruments required for measuring, modelling and forecasting risk in finance, with a particular focus on Value-at-Risk (VaR) approach and applications, trying also to highlight their limitations in real situations. After the course, students should be familiar with the main theoretical and operational tools used for estimating risk in various financial settings and, more generally, for tackling issues in modern quantitative finance.
Expected learning outcomes
Lesson period: Second trimester
(In case of multiple editions, please check the period, as it may vary)
1. PREREQUISITES OF ELEMENTARY PROBABILITY 2. WHAT IS RISK AND RISK IN PERSPECTIVE 3. OVERVIEW OF BASEL AND SOLVENCY REGULATORY FRAMEWORKS 4. BASIC CONCEPTS IN RISK MANAGEMENT AND RISK MEASURES 5. AGGREGATE RISK 6. MARKET RISK 7. CREDIT RISK 8. OPERATIONAL RISK 9. MODEL RISK AND DEPENDENCE UNCERTAINTY