MATH 510 Quantitative Risk Management

4 credits · Mathematics and Statistics · Faculty of Science · Not scheduled for 2026–2027

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, …

Prerequisites

(MATH 323 or MATH 356 or equivalent) and (MATH 324 or MATH 357 or equivalent)

Prerequisite courses: MATH 323, MATH 324, MATH 356, MATH 357

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