Brief Course Description
1. Course Title:
Risk Analysis & Modelling
2. Language of Instruction:
Tiếng Việt
3. Course Code:
RIS605035
4. Credits:
3
5. Course Objectives:
- Equip students with knowledge and skills in measuring and modeling risks in financial institutions.
- Understand and apply risk measures.
- Develop the ability to construct and model individual and aggregated risks.
- Apply quantitative methods in practical risk management.
6. Brief Description of Course Content:
This course presents quantitative methods of measuring and modeling risk in financial institutions such as banks, investment funds, and insurance companies. The course will cover: risk measures, univariate and multivariable models, value at risk, copula and dependency measures, extreme value theory, credit risk, and liquidity risk. The course will provide students with the understanding of techniques for developing and estimating distributions in risk management, risk models for individual and aggregate risk in a portfolio, characteristics of copula and dependent risk modeling, characteristics and application of extreme value distribution in risk management.