MATH 510 Quantitative Risk Management (4 unités)

Vue d'ensemble

Mathématiques et Statistiques (Sci) : Basics concepts in quantitative risk management: types of financial risk, loss distribution, risk measures, regulatory framework. Empirical properties of financial data, models for stochastic volatility. Extreme-value theory models for maxima and threshold exceedances. Multivariate models, copulas, and dependence measures. Risk aggregation.

Terms: Hiver 2025

Instructors: Neslehova, Johanna (Winter)

• Prerequisites: (MATH 323 or MATH 356 or equivalent) and (MATH 324 or MATH 357 or equivalent)