Module 8: Quantitative Risk Management

Syllabus

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
  • 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

 

18 - 21 April 2017

M8 Timetable

 

Module 8 2016

Timetable for Module 8

Course Materials

Course Materials are only available to those registered to attend.

 

Assignment

Assignment can be found under Course Materials.

Assignment template.

Submit assignment.

 

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.