Risk Analyses And Management

This module is a core module for students of MSc in Financial Engineering. The topics include: Market risk. Value-at-Risk measures and problems. Parametric historical, and simulations VAR. Alternative securities risk and derivatives risk measurements. Delta-normal VARs and applications to different products. Credit risks and measurements. Liquidity, operational risk, legal risk, settlement risk, model risk, tax risk and others, Stress testing, Accounting and legal compliance. Some existing models and Risk Management best practices.

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