Quantitative risk management

MTH5510

Synopsis

Basic concepts of risk management and risk measures. Multivariate models. Copulas and dependence. Financial time series. Volatility models such as ARCH and GARCH processes. Aggregate risk. Extreme value theory. Market, credit, and operational risk models. Regulation and practice.

Sourced from the Monash Handbook 2026.

Quick facts

Credit points: 6
Level: 5
Audience: Postgraduate
Type: Coursework
School: Faculty of Science
Faculty: School of Mathematics
Handbook year: 2026

Prerequisites (3)

Topology: The mathematics of shapeMTH3130
Financial mathematicsMTH3251
Statistics of stochastic processesMTH3260

What it unlocks

Nothing in the visible graph depends on this unit.

Offerings (1)

Second semesterClayton · ON-CAMPUS