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2013 Fall - MATH
Subj Cat# Class# Sect Course
MATH 458A 1175 1 Quantitative Risk Management
This class will focus on the calculation of Value-at-Risk, risk theory, and extreme value theory. We will also study coherent measures of risk, the Basle accords, and, if time allows, the role of the BIS. There will be a practical assignment with data coming from Riskmetrics. We will discuss practical issues following the 2008-2009 financial crisis.