| Call Number | 14538 |
|---|---|
| Day & Time Location |
MW 11:40am-12:55pm 750 Schapiro [SCEP] |
| Points | 3 |
| Grading Mode | Standard |
| Approvals Required | None |
| Instructor | Agostino Capponi |
| Type | LECTURE |
| Method of Instruction | In-Person |
| Course Description | Risk management models and tools; measure risk using statistical and stochastic methods, hedging and diversification. Examples include insurance risk, financial risk, and operational risk. Topics covered include VaR, estimating rare events, extreme value analysis, time series estimation of extremal events; axioms of risk measures, hedging using financial options, credit risk modeling, and various insurance risk models. |
| Web Site | Vergil |
| Department | Industrial Engineering and Operations Research |
| Enrollment | 42 students (58 max) as of 5:06PM Saturday, February 1, 2025 |
| Subject | Industrial Engineering and Operations Research |
| Number | E4602 |
| Section | 001 |
| Division | School of Engineering and Applied Science: Graduate |
| Open To | Engineering:Undergraduate, Engineering:Graduate |
| Note | Master Level Students and Undergraduate FE Seniors Only. |
| Section key | 20243IEOR4602E001 |