WClasses
ACTSC 445 - Quantitative Enterprise Risk Management
This course introduces enterprise risk management, with a focus on quantitative analysis and economic capital. Risk classification is first discussed with an emphasis on the types of risk most suited to quantitative methods. Risk measures, such as Value-at-Risk (VaR) and Conditional Tail Expectation (CTE or TVaR), are then introduced and their use by firms and regulators to determine risk capital requirements is further highlighted. Different approaches are considered for developing loss distributions, including frequency/severity analysis and extreme value theory. Copulas and economic scenario generators are used to aggregate dependent risks. Different strategies for mitigating or transferring risk are reviewed. Additional topics that may be covered include credit risk, capital allocation, and regulation of financial institutions.
Prerequisites
ACTSC372 or BUS393W and (STAT330, STAT333) or STAT334; Actuarial Science, Math/FARM, Math Fin students only.
Corequisites
None
Antirequisites
AFM422, MATBUS472, BUS433W, BUS439W
Offerings
Spring 2026 [1265]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3593 | 0 / 110 | ||||
| TUT 101 | 4038 | 0 / 110 |
Fall 2025 [1259]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 6199 | 30 / 90 | 11:30 - 12:50 | M,W | ||
| LEC 001 | 6199 | 30 / 90 | 11:30 - 12:50 | M,W |
Spring 2025 [1255]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3671 | 60 / 110 | 14:30 - 15:50 | T,Th | ||
| TUT 101 | 4159 | 60 / 110 | 16:30 - 17:20 | Th |
Spring 2024 [1245]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3708 | 79 / 110 | 11:30 - 12:50 | T,Th | ||
| TUT 101 | 5117 | 79 / 110 | 13:30 - 14:20 | F |
Fall 2023 [1239]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 6045 | 39 / 56 | 10:00 - 11:20 | M,W | ||
| TUT 101 | 6828 | 39 / 56 | 10:30 - 11:20 | F |
Spring 2023 [1235]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3828 | 35 / 120 | 13:00 - 14:20 | M,W |
Winter 2023 [1231]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 7970 | 20 / 100 | 13:00 - 14:20 | M,W | DWE 1501 | Erik Hintz |
| TUT 101 | 8729 | 20 / 100 | 14:30 - 15:20 | F | QNC 1502 | Erik Hintz |
Fall 2022 [1229]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 7138 | 57 / 140 | 08:30 - 09:50 | T,Th | STC 0050 | Erik Hintz |
| TUT 101 | 9781 | 57 / 140 | 11:30 - 12:20 | F | STC 0020 | Erik Hintz |
Spring 2022 [1225]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3602 | 87 / 135 | 10:00 - 11:20 | T,Th | STC 0040 | Chengguo Weng |
| TUT 101 | 3971 | 87 / 135 | 12:30 - 13:20 | F | STC 0040 | Chengguo Weng |
Fall 2021 [1219]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 6083 | 104 / 150 | Chengguo Weng |
Spring 2021 [1215]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 041 | 3390 | 149 / 150 | Fan Yang |
Fall 2020 [1209]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 041 | 5979 | 90 / 104 | Marius Hofert |
Spring 2020 [1205]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3632 | 89 / 110 | Fan Yang |
Fall 2019 [1199]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5799 | 43 / 80 | 13:00 - 14:20 | T,Th | PAS 2083 | Erik Hintz |
| LEC 002 | 9990 | 2 / 1 | ||||
| TUT 101 | 9228 | 43 / 80 | 13:30 - 14:20 | F | MC 2038 | Erik Hintz |
Spring 2019 [1195]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3640 | 98 / 125 | 10:00 - 11:20 | M,W | STC 0050 | Erik Hintz |
| TUT 101 | 4025 | 98 / 125 | 12:30 - 13:20 | F | STC 0020 | Erik Hintz |
Fall 2018 [1189]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5644 | 53 / 75 | 08:30 - 09:50 | M,W | MC 2038 | Chengguo Weng |
| LEC 002 | 9665 | 1 / 1 | ||||
| TUT 101 | 6126 | 53 / 75 | 08:30 - 09:20 | F | E2 1736 | Chengguo Weng |
Spring 2018 [1185]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3529 | 64 / 120 | 14:30 - 15:50 | M,W | STC 0020 | Marius Hofert |
| TUT 101 | 3939 | 64 / 120 | 11:30 - 12:20 | F | MC 2065 | Marius Hofert |
Winter 2018 [1181]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 9613 | 1 / 1 |
Fall 2017 [1179]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5732 | 34 / 95 | 14:30 - 15:50 | T,Th | MC 4020 | Chengguo Weng |
| TUT 101 | 6250 | 34 / 95 | 09:30 - 10:20 | F | MC 4059 | Chengguo Weng |
Spring 2017 [1175]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3528 | 103 / 120 | 11:30 - 12:50 | T,Th | MC 4020 | Mary R Hardy |
| TUT 101 | 4683 | 103 / 120 | 14:30 - 15:20 | F | MC 4020 | Mary R Hardy |
Winter 2017 [1171]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 9983 | 1 / 1 |
Fall 2016 [1169]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5708 | 64 / 80 | 14:30 - 15:50 | T,Th | MC 4059 | David Saunders |
| LEC 002 | 9239 | 1 / 1 | ||||
| TUT 101 | 6246 | 64 / 80 | 15:30 - 16:20 | F | MC 4021 | David Saunders |
Spring 2016 [1165]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3531 | 114 / 175 | 10:00 - 11:20 | T,Th | DC 1350 | Marius Hofert |
| TUT 101 | 3844 | 0 / 175 |
Fall 2015 [1159]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5970 | 84 / 100 | 13:00 - 14:20 | T,Th | MC 2065 | David Saunders |
| LEC 002 | 8922 | 2 / 1 | ||||
| TUT 101 | 6543 | 84 / 100 | 12:30 - 13:20 | F | QNC 2502 | David Saunders |
Spring 2015 [1155]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3601 | 129 / 200 | 13:00 - 14:20 | M,W | DC 1350 | Mary R Hardy |
| TUT 101 | 3925 | 129 / 200 | 13:30 - 14:20 | T | DC 1350 | Mary R Hardy |
Fall 2014 [1149]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5633 | 86 / 105 | 11:30 - 12:50 | T,Th | MC 4059 | Mary R Hardy |
| TUT 101 | 6243 | 86 / 105 | 09:30 - 10:20 | W | MC 4061 | Mary R Hardy |
Spring 2014 [1145]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3510 | 150 / 215 | 11:30 - 12:50 | T,Th | DC 1350 | Javid Ali |
| TUT 101 | 3857 | 150 / 215 | 16:30 - 17:20 | Th | DC 1350 | Javid Ali |
Winter 2014 [1141]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 8610 | 1 / 1 |
Fall 2013 [1139]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5287 | 87 / 120 | 13:00 - 14:20 | T,Th | MC 1085 | Javid Ali |
| LEC 002 | 8382 | 1 / 1 | ||||
| TUT 101 | 5934 | 87 / 120 | 14:30 - 15:20 | Th | MC 2065 | Javid Ali |
Spring 2013 [1135]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3338 | 193 / 215 | 12:30 - 13:20 | M,W,F | DC 1350 | Javid Ali |
| TUT 101 | 5281 | 193 / 215 | 16:30 - 17:20 | M | DC 1350 |
Fall 2012 [1129]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5205 | 147 / 170 | 13:00 - 14:20 | T,Th | MC 2065 | Javid Ali |
| LEC 002 | 8508 | 1 / 1 | ||||
| TUT 101 | 7420 | 147 / 170 | 16:30 - 17:20 | Th | MC 2065 | Javid Ali |
Spring 2012 [1125]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3383 | 180 / 215 | 12:30 - 13:20 | M,W,F | DC 1350 | Ken S Tan |
Winter 2012 [1121]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 8199 | 2 / 1 |
Fall 2011 [1119]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5030 | 150 / 170 | 13:00 - 14:20 | T,Th | MC 2066 | Hyun Tae Kim |
| LEC 002 | 8352 | 1 / 1 |
Spring 2011 [1115]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3272 | 168 / 200 | 12:30 - 13:20 | M,W,F | AL 116 | Javid Ali |
Fall 2010 [1109]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5061 | 177 / 170 | 13:00 - 14:20 | T,Th | MC 2065 | David Saunders |
| LEC 002 | 8046 | 2 / 1 | ||||
| TUT 101 | 5200 | 177 / 170 | 17:30 - 18:20 | M | MC 2066 |
Spring 2010 [1105]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 4652 | 150 / 165 | 11:30 - 12:20 | M,W,F | MC 2066 | Xiaorong Zou |
| TUT 101 | 5198 | 150 / 165 | 16:30 - 17:20 | M | MC 2066 |
Winter 2010 [1101]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 8038 | 1 / 1 |
Fall 2009 [1099]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 4773 | 107 / 125 | 13:00 - 14:20 | T,Th | MC 2065 | David Saunders |
| LEC 002 | 7449 | 81 / 85 | 13:00 - 14:20 | T,Th | MC 2034 | Xiaorong Zou |
| TUT 101 | 4935 | 133 / 150 | 17:30 - 18:20 | M | MC 2066 | |
| TUT 102 | 7450 | 55 / 60 | 17:30 - 18:20 | M | MC 4040 |
Spring 2009 [1095]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3125 | 163 / 165 | 11:30 - 12:20 | M,W,F | MC 2066 | Christiane Lemieux |
| TUT 101 | 4208 | 163 / 165 | 16:30 - 17:20 | F | MC 2066 |
Winter 2009 [1091]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 8310 | 1 / 1 |
Fall 2008 [1089]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3633 | 140 / 137 | 11:30 - 12:20 | M,W,F | RCH 302 | Christiane Lemieux |
| TUT 101 | 3814 | 140 / 137 | 17:30 - 18:20 | M | MC 1085 |
Spring 2008 [1085]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 2563 | 84 / 75 | 11:30 - 12:20 | M,W,F | MC 4059 | Weidong Tian |
| LEC 002 | 2834 | 77 / 80 | 09:30 - 10:20 | M,W,F | MC 4059 | Weidong Tian |
Winter 2008 [1081]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5948 | 1 / 1 |
Fall 2007 [1079]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3335 | 88 / 80 | 11:30 - 12:20 | M,W,F | MC 4045 | Ken S Tan |
| LEC 002 | 5323 | 68 / 60 | 09:30 - 10:20 | M,W,F | RCH 306 | Ken S Tan |
| TUT 101 | 3531 | 156 / 150 | 17:30 - 18:20 | M | RCH 301 | Ken S Tan |
Spring 2007 [1075]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 2176 | 75 / 75 | 11:30 - 12:20 | M,W,F | MC 2038 | Weidong Tian |
| LEC 002 | 2969 | 60 / 60 | 09:30 - 10:20 | M,W,F | MC 2034 | Weidong Tian |
Winter 2007 [1071]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5696 | 1 / 1 |
Fall 2006 [1069]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3211 | 110 / 90 | 11:30 - 12:20 | M,W,F | MC 4020 | Christiane Lemieux |
| TUT 101 | 3423 | 110 / 90 | 17:30 - 18:20 | M | MC 4020 | Christiane Lemieux |
Spring 2006 [1065]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 2154 | 119 / 130 | 11:30 - 12:20 | M,W,F | EIT 1015 | Ken S Tan |
Fall 2005 [1059]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3111 | 98 / 90 | 11:30 - 12:20 | M,W,F,R,C,H | Weidong Tian | |
| LEC 002 | 5739 | 1 / 1 | ||||
| TUT 101 | 3366 | 98 / 90 | 16:30 - 17:20 | M,M,C | Weidong Tian |
Spring 2005 [1055]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 2151 | 75 / 90 | 14:30 - 16:20 | T,Th,D,W,E | Ken S Tan |
Fall 2004 [1049]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3091 | 72 / 70 | 11:30 - 12:20 | M,W,F,R,C,H | Weidong Tian | |
| TUT 101 | 3363 | 72 / 70 | 16:30 - 17:20 | M,M,C | Weidong Tian |
Spring 2004 [1045]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 2047 | 57 / 70 | 14:30 - 15:50 | T,Th,R,C,H | Ken S Tan | |
| TUT 101 | 2207 | 57 / 70 | 12:30 - 13:20 | W,M,C | Ken S Tan |
Fall 2003 [1039]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 2998 | 62 / 60 | 11:30 - 12:20 | M,W,F,M,C | Weidong Tian | |
| TUT 101 | 3288 | 62 / 60 | 15:30 - 16:20 | F,M,C | Weidong Tian |
Spring 2003 [1035]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 2165 | 65 / 70 | 10:30 - 11:20 | M,W,F,M,C | Ken S Tan | |
| TUT 101 | 2333 | 65 / 70 | 16:30 - 17:20 | W,M,C | Ken S Tan |
Fall 2002 [1029]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 2854 | 37 / 60 | 13:30 - 14:20 | M,W,S,T,J | Ken S Tan | |
| TUT 101 | 3172 | 37 / 60 | 14:30 - 15:20 | F,C,P,H | Ken S Tan |
Spring 2002 [1025]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 1884 | 50 / 60 | 10:30 - 11:20 | M,W,F,M,C | Ken S Tan | |
| TUT 101 | 2621 | 50 / 60 | 15:30 - 16:20 | W,M,C | Ken S Tan |
Fall 2001 [1019]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 1512 | 27 / 60 | 13:30 - 14:20 | M,W,F,M,C | Sven Sinclair | |
| TUT 101 | 3565 | 27 / 60 |