FINENG 518 - Quantitative Risk Management
Section: 001
Term: FA 2010
Subject: Financial Engineering Program (FINENG)
Department: CoE Interdisciplinary Professional Programs (InterPro)
3 (Non-LSA credit).
Advisory Prerequisites:
Graduate or permission of instructor and IOE/MATH/STAT 506.
May not be repeated for credit.
Primary Instructor:

The purpose of this course is to provide an introduction to the probability and statistical methods used by financial institutions to model market, credit and operational risk. Topics addressed include loss distributions, multivariable models, dependence and copulas, extreme value theory, risk measures, risk aggregation and risk allocation.

FINENG 518 - Quantitative Risk Management
Schedule Listing
001 (LEC)
TuTh 2:30PM - 4:00PM
NOTE: Data maintained by department in Wolverine Access. If no textbooks are listed below, check with the department.

ISBN: 0136102956
Risk management and financial institutions, Author: John C. Hull., Publisher: Prentice Hall 2nd ed. 2010
Other Textbook Editions OK.
ISBN: 0691122555
Quantitative risk management : concepts, techniques, tools, Author: Alexander J. McNeil, Ruediger, Publisher: Princeton University Press 2005
Other Textbook Editions OK.
Syllabi are available to current LSA students. IMPORTANT: These syllabi are provided to give students a general idea about the courses, as offered by LSA departments and programs in prior academic terms. The syllabi do not necessarily reflect the assignments, sequence of course materials, and/or course expectations that the faculty and departments/programs have for these same courses in the current and/or future terms.

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