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ACTSC 634 - Quantitative Risk Management

This course combines enterprise and quantitative risk management to provide a comprehensive coverage of risk management science with applications in finance, insurance and corporate governance. Topics covered include: risk taxonomy; risk measures; extreme value theory; copulas; stress and scenario testing; interest rate risk management, credit risk management; regulation, including Basel, Basel 3 and Solvency 2; risk adjusted return; capital allocation.

Prerequisites

Corequisites

None

Antirequisites

None

Offerings

Spring 2026 [1265]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3768	0 / 30

Spring 2025 [1255]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3857	0 / 30	14:30 - 16:20	M,W

Spring 2024 [1245]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3898	11 / 30	13:30 - 15:20	T,Th

Spring 2023 [1235]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	4027	14 / 30	09:30 - 11:20	M,W

Spring 2022 [1225]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3822	13 / 30	15:00 - 16:50	M,W	M3 2134	Mary Hardy

Spring 2021 [1215]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3521	13 / 13	12:00 - 13:50	T,Th	MC 2038	Mary Hardy

Spring 2020 [1205]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3852	12 / 30				Fan Yang

Spring 2019 [1195]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3865	16 / 30	09:30 - 11:20	T,Th	M3 2134	Ken Seng Tan

Spring 2018 [1185]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3761	14 / 30	15:00 - 16:50	T,Th	M3 2134	Ken S Tan

Spring 2017 [1175]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3768	16 / 30	12:30 - 14:20	T,Th	M3 2134	Ken S Tan

Spring 2016 [1165]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3784	18 / 30	12:30 - 14:20	T,Th	M3 2101	Chengguo Weng

Spring 2015 [1155]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3858	15 / 30	09:00 - 10:50	M,W	M3 2101	Marius Hofert

Spring 2014 [1145]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3770	19 / 30	14:30 - 16:20	M,W	M3 2101	Carole Bernard

Spring 2013 [1135]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3611	14 / 30	12:00 - 13:50	T,Th	M3 2101	Giovanni Puccetti

Spring 2012 [1125]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3686	16 / 30	14:30 - 16:20	M,W	M3 2101	Carole Bernard

Spring 2011 [1115]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	3603	18 / 30	14:30 - 16:20	M,W	MC 2018A	Carole Bernard

Spring 2010 [1105]

Section	Class	Enrolled	Time	Days	Location	Instructor
LEC 001	6487	7 / 10	14:30 - 16:20	T,Th	MC 6005	Carole Bernard