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 2024 in Semester 2 at Clayton. It has no prerequisites.
- Credit points
- 6
- Offered in 2024
- Semester 2
- Clayton
- Assessment
- Exam 60%
- and 1 other task
This is the 2024 handbook entry. See the 2027 entry.
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Requisites
Before MTH5510
No prerequisites or corequisites besides the enrolment rules below.
After MTH5510
No unit lists MTH5510 as a prerequisite in the 2024 handbook.
Enrolment rules
COREQUISITE: Only students enrolled in the Master of Financial Mathematics or the Master of 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 2024
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Clayton | On campus |
Assessment
- Continuous assessmentOther40%
- 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
- Seminars36 hours
- Teaching approachActive learning
- Two 1.5 -hour seminars;
- One 1-hour applied class (in weeks 2-12) and
- 8 hours of independent study per week
Active learning will occur in lectures and applied classes.
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.
When is MTH5510 offered?
In 2024, 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.