QUANTITATIVE RISK MANAGEMENT

Risk Management becomes more and more important in the financial industry especially after the global financial crisis. Large financial institutions are facing high regulatory pressure from the government and public. In response to this pressure, risk management in the financial industry has been transformed dramatically over the past decade. Today, about 50 percent of the function’s staff are dedicated to risk-related operational processes such as credit administration, while 15 percent work in analytics. McKinsey research suggests that by 2025, these numbers will reach 25 and 40 percent, respectively.

This course is designed to provide students with a high-level overview of modern risk management. This is then followed by an in-depth examination of the techniques and management structures used to assess and control risk, including a detailed discussion on the implementation of Value-at-Risk, which is becoming the de facto standard for measuring risk across all the major classes: market, credit, liquidity and operational.

This course is consistent with and relevant to Financial Risk Manager (FRM) curriculum. It covers majority of FRM learning objectives in the test and it is deeper in the quantitative modelling and analysis.