Nottingham University Business School
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Quantitative Risk Management

Please note that the following information may be subject to change.

Module Convenor:  Tim Bailey

Module Content:
The development of quantitative risk management and its use by firms to measure and manage their risk. Measures of risk: value at risk, expected shortfall, and other risk measures. Uses of quantitative risk measures: Estimating risk measures: historical simulation approaches, parametric approaches and Monte Carlo simulation approaches. Volatility forecasting. Estimating liquidity risks. Backtesting risk models. Risk measurement using Extreme Value Theory. Model and parameter risk.

Module Aims:
To provide students with a conceptual introduction to the basic principles and practices of modern quantitative financial risk management, and to give them experience of carrying out the calculations involved using appropriate software.

Module Assessment:
2 Hour Examination (50%); Individual Coursework (3,000 word essay) (50%)


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Nottingham University Business School

Jubilee Campus
Nottingham
NG8 1BB

telephone: +44 (0) 115 846 6602
fax: +44 (0) 115 846 6667
email: business-enquiries@nottingham.ac.uk