Quantitative Risk Management

The aim of the course is to provide practical, hands-on training for those interested in working in risk management and complete their preparation for passing the FRM and PRM certificates, two globally recognized certificates for risk managers.

By the end of the class students should be able to perform independent risk modeling and verifications of risk models across major risk classes, understand contemporary risk regulation and the role that regulatory and economic capital, cost of funding and fund transfer pricing play in modern financial institutions. In addition, they should know how to implement many of these models in R.

This course is elective. It is taught in the second semester and carries 6 ECTS credits. Go to the next course or see the list of courses.

  • Essential Literature
  • P. Jorion, Financial Risk Manager Handbook, Wiley (2010).
  • J. Skoglund, W. Chen, Financial Risk Management, Wiley (2015)
  • C. Alexander, E. Sheedy, The Professional Risk Manager’s Handbook, PRMIA Publishing (2005).
  • R. S. Tsay, An Introduction to Analysis of Financial Data with R, Wiley (2012).