Course

Quantitative Risk - MATH2881

Faculty: Faculty of Science

School: School of Mathematics and Statistics

Course Outline: http://www.maths.unsw.edu.au

Campus: Sydney

Career: Undergraduate

Units of Credit: 6

EFTSL: 0.12500 (more info)

Indicative Contact Hours per Week: 4

Enrolment Requirements:

Prerequisite: MATH1231 or MATH1241 or MATH1251 or a Credit in ECON1203.

CSS Contribution Charge: 2 (more info)

Tuition Fee: See Tuition Fee Schedule

Further Information: See Class Timetable

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Description

This course introduces the methods used in banks and financial institutions to measure and mitigate their risk, especially in the regulatory framework of Basel II. Topics include: types of risk: market, credit, operational risk and their characteristics; the banking environment, regulation, and capital reserving; risk at the macro level; economic capital and RAROC; the VaR formalism; statistical issues on sensitivity to data: heavy tails, heteroskedasticity, mean reversion, robustness of correlation estimates; credit ratings; special problems of operational risk; combination of risks and attribution.
The assessment for the course will include a substantial teamwork project with presentation to the class, as well as an end-of-session exam.


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