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This course focuses on mathematical methods to analyze and manage risks associated with financial derivatives. Topics covered include aggregate loss distributions, extreme value theory, default probabilities, Value-at-Risk and expected shortfall, coherent risk measures, correlation and copula, applications of principle component analysis and Monte Carlo simulations in financial risk management, how to use stochastic differential equations to price financial risk derivatives, and how to back-test and stress-test models.

Prerequisites: ²Ñ´¡Ìý405 and (²Ñ´¡Ìý421 or ³§°ÕÌý421) and (MA/³§°ÕÌý412 or MA/³§°ÕÌý413)

Typically offered in Spring only