RM 704 - Risk Measurement

Overview

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

Credits

Minimum Units

3

Maximum Units

3

Academic Progress Units

3

Repeat For Credit

No

Components

Name

Lecture

Hours

3

Course Schedule