Risk Management
Archived page from the Certificate in Quantitative Investment (CQI) section of the original site. For current information see en.cqi.sg.
Course Description
Risk Management…
Course Outline
| Session | Topics | Readings | Homeworks |
| 1 | Risk overview: market, liquidity, credit, operational, and all that | Lecturer handout | hw1 |
| 2 | Quantitative risk analysis | Lecturer handout | hw2 |
| 3 | Value-at-Risk (VaR) | Lecturer handout | hw3 |
| 4 | VaR for linear portfolios | Lecturer handout | hw4 |
| 5 | VaR for non-linear portfolios | Lecturer handout | hw5 |
| 6 | Forecasting volatilities and correlations | Lecturer handout | hw6 |
| 7 | Backtesting VaR models | Lecturer handout | hw7 |
| 8 | Building risk management systems | Lecturer handout | hw8 |
| 9 | Basics of multivariate modeling, regression analysis, discriminant analysis | Lecturer handout | hw9 |
| 10 | VaR using multivariate Normal distribution, non-Normal multivariate distributions, PCA | Lecturer handout | hw10 |
| 11 | Extreme value theory (EVT) | Lecturer handout | hw11 |
| 12 | Managing risk using EVT | Lecturer handout | hw12 |