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Department of Statistical and Actuarial Sciences
Center of Actuarial Excellence (CAE)

Financial Risk Management

Financial Modelling 9587A

Description: This course provides an introduction to Risk Management in Financial Firms. Key topics covered in this course include:

1. What is Risk? Risk adjusted value, risk tolerance and risk neutral preferences
2. Definition and measurement of different types of risk - accounting risk, economic risk, environmental risk, financial risk, operational risk, reputational risk, technological risk etc.
3. Financial risk - capital market risk, liquidity risk, portfolio management, asset liability management
4. Risk modelling, risk budgeting
5. Scenario Analysis, Stress testing and Value-at-Risk
6. Regulation, Basel III, Solvency II, Dodd-Frank,Central Banks, FSA etc.
7. Applications

Term: A

Prerequisite(s): Proficiency in statistics, algebra, and calculus as well as university level reading comprehension and written and oral communication are required. In practice, this means that students should have completed at least one year of university level calculus and a year of statistics (or Econometrics). In addition, students should be familiar with language and concepts of modern finance and economics.

Extra Information: This course should be of interest to students in the fourth term of the MFE, the fourth term of the M.Sc. in Financial Modelling, as well as upper year PhD students in Economics, Finance and Statistics & Actuarial Science. Students with suitable academic background in the Ivey M. Sc. program may enroll with permission.

Outlines of this course offered in past school years
Course Instructor(s) Outline Term School Year
FM9587A001 Matt Davison PDF A 2014/2015