Risk Measurement
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Overview
Subject area
RM
Catalog Number
704
Course Title
Risk Measurement
Department(s)
Description
This course provides an in-depth review of the fundamentals of probability and statistics, followed by the measurement of various risk types. The course examines instances of market failure, the role of collateralization requirements, the impact of term, time horizon, and covariance, and extreme value theory. The course also covers probabilistic and stochastic risk modeling, calculations of value-at-risk, stress testing, and other risk metrics, and the limitations of each of these measures. Prereq. or coreq. : RM 701, Risk Management.
Typically Offered
Fall, Spring
Academic Career
Graduate
Liberal Arts
Yes
Credits
Minimum Units
3
Maximum Units
3
Academic Progress Units
3
Repeat For Credit
No
Components
Name
Lecture
Hours
3