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Modelling Market Risk - ECFS899
This unit extends concepts taught in ECFS868 Financial Risk Management. It will be of interest to risk management professionals (or would-be professionals) employed by banks, regulators, fund managers, non-financial corporations and consulting firms. This unit will focus primarily on VaR modeling in a world with volatility clustering and other deviations from normality. Quantitative methods such as simulation, matrix algebra, GARCH modeling, maximum likelihood estimation and hypothesis testing will be taught. Model risk and liquidity risk will also be covered.
| Credit Points: | 2 |
| When Offered: | E1 - Evening; Offered in Session 1, North Ryde E2 - Evening; Offered in Session 2, North Ryde |
| Staff Contact(s): | Dr Elizabeth Sheedy |
| Prerequisites: |
(Admission to MAppFin or PGCertAppFin) and ECFS868 |
| Corequisites: | |
| NCCW(s): | |
| Unit Designation(s): | |
| Assessed As: | Graded |
| Offered By: | Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |
Timetable Information
For unit timetable information please visit the Timetables@Macquarie Website