United Kingdom, London

Statistical Methods in Risk Management

when 13 August 2018 - 17 August 2018
language English
duration 1 week
fee GBP 975

The implementation of sound quantitative risk models is a vital task for all financial institutions, and this trend has accelerated in recent years after the last financial crisis. This course provides a self-contained introduction to both theoretical and practical implementation of various techniques in risk management. We draw on diverse quantitative disciplines, from probability to statistics, from actuarial science to quantitative finance. Main topics include: risk factor models, risk measures and their statistical estimation, multivariate factor models, dimensional reduction techniques, copulas, measure of dependence on extreme events. We work with real financial data and aim to provide hands-on experience on practical applications.

Course leader

Dr Hao Xing

Target group

This course is designed for postgraduates and professionals who are interest in analytical techniques in risk management and who have some background in probability and statistics.

Course aim

After completing this course students will:
Gain knowledge of important analytical techniques to measure risk in financial market.
Develop skills to implement these techniques on real financial data.
Gain experience transferring these techniques to other applications.

Credits info

Students who wish to receive credit for their course will need to contact either their Study Abroad Office or the office in their university that deals with external credit. It is up to students' home institutions as to how much credit is awarded but the Methods Programme Office is happy to provide any necessary information to your registry or academic advisor, to help them evaluate the courses.

Fee info

GBP 975: Course fees are approximate only, based on 2017 fees. These are likely to increase slightly for 2018
GBP 1825: Course fees are approximate only, based on 2017 fees. These are likely to increase slightly for 2018