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Modelling Market Risk - ECFS899
Quantitative risk modelling is an essential part of modern risk management yet models are often misinterpreted and misused. This unit extends concepts taught in ECFS868 and is designed for anyone that uses or produces risk information (not just risk specialists). The aim is to build an understanding of risk modelling techniques, including an appreciation of their deficiencies; hence model risk is a focus of this unit. You will improve your modelling abilities and also your capacity to communicate complex technical information. Techniques include GARCH models (for changing volatility), simulation analysis and heavy-tailed distributions (for modelling extreme events). Market risk (including market liquidity risk) will be the focus across equity, currency and commodity markets. Case studies and computer workshops are used in class.
| Credit Points: | 2 |
| When Offered: | AFC Jan CBD - Applied Finance Centre, City Campus, November 2012 to June 2013 AFC Jul CBD - Applied Finance Centre, City Campus, May to November |
| Staff Contact(s): | Associate Professor 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 and session dates for external offerings please visit the Timetables@Macquarie Website