MTH5510 Quantitative risk management
Faculty of Science
MTH5510 Quantitative risk management is a level 5, 6-credit-point, postgraduate unit from the Faculty of Science, offered in 2020 in Semester 2 at Clayton. It has no prerequisites and unlocks 4 units.
- Credit points
- 6
- Offered in 2020
- Semester 2
- Clayton
- Assessment
- Exam 60%
- and 1 other task
This is the 2020 handbook entry. See the 2027 entry.
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Requisites
Before MTH5510
No prerequisites or corequisites besides the enrolment rules below.
After MTH5510
4 units list MTH5510 as a prerequisite or corequisite.
Enrolment rules
COREQUISITE: Only students enrolled in the Master of Financial Mathematics can enrol in this unit. Exceptions can be made with permission from the unit coordinator.
Overview
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.
Offerings in 2020
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Clayton | On campus |
Assessment
- In-semester assessment40%
- Examination (3 hours and 10 minutes)Threshold hurdle60%
Learning outcomes
When you finish this unit, you should be able to:
- 1
Apply different aspects of the theory and practice of risk modelling for financial institutions.
- 2
Understand different types of financial risks such as market, credit, and operational.
- 3
Estimate various risk measures such as Value-at-Risk and Expected Shortfall for different type of risks of a financial institution.
- 4
Construct and estimate various volatility processes such as ARCH and GARCH.
- 5
Construct a multivariate model and calibrate its parameters to real financial data either by a multivariate distribution (top-down approach) or copula (bottom-up approach)
- 6
Understand tail risk concept and quantify it based on either heavy tail distributions approach or extreme value theory.
Workload and teaching
- Applied sessions11 hours
- Lectures36 hours
- Teaching approachActive learning
Two 2-hour lectures per week
Active learning will occur in lectures and tutorials.
Contacts
- Unit Coordinators
- Dr Hassan Fallahgoul
- Chief Examiners
- Dr Hassan Fallahgoul
Common questions
What are the prerequisites for MTH5510?
MTH5510 has no prerequisites, but enrolment rules apply.
What can I take after MTH5510?
MTH5510 is a prerequisite or corequisite for 4 units, including MTH5810, MTH5820, MTH5830 and MTH5840.
When is MTH5510 offered?
In 2020, MTH5510 runs in Semester 2 at Clayton.
Does MTH5510 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.