Module 8: Quantitative Risk Management


Please note that in exceptional circumstances it may be necessary to cancel or alter a particular lecture, so that these details are subject to small variation.

  • Behavioural finance
  • Credit risk
  • Robust Methods
  • Counterparty credit risk
  • XVA Modelling
    • deriving a general mathematical framework for quantifying Credit, Debit, Funding and Capital Valuation Adjustments (collectively known as XVA)
    • illustrating the creation of an XVA simulation engine in the context of a hybrid multi-currency FX/IR risk factor model
  • Bayesian risk management
    • Why we need a different approach to risk management
    • Introduction to Probabilistic Graphical Models
    • Bayesian Nets in the discrete and continuous case
      • Conditional probability tables and sparse regression systems
      • The Master Formula
      • Automatic learning algorithms
      • Dynamic Bayesian Nets
    • Markov Random Fields in the discrete and continuous case
      • Potentials representation and sparse connections systems
      • Representation of networks of firms as Markov Random Fields
      • Automatic learning algorithms
    • Chain Graphs as the union of Bayesian Nets and Markov Random Fields
    • Application to the design of a stress testing scenario
    • Application to portfolio theory and optimization
    • Application to macro-hedging
    • Application to economic capital models of loan portfolios


17 - 20 April 2018

PDF icon M8 18_timetable_v4.pdf


Course Materials


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Assignment can be found under Course Materials.

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Short Course option

If you are wishing to take the Quantitative Risk Management module as a short course, registration will open over the summer and closes one week before the start of the course.