Financial Models and Statistical Methods in Risk Management

Description

This course covers statistical topics related to market risk, credit risk, and credit markets. Students will analyze logistic regression, generalized linear models and generalized mixed models to understand why loan prepayment and default are competing risks. Explore how banking and bank regulation impact asset and liability management.

Topics Include

• Back testing, stress testing, and Monte Carlo methods
• Censored data, survival analysis and hazard functions
• Correlated default intensities
• Frailty and contagion
• Risk surveillance
• Early warning and adaptive risk control methodologies

Course Availability

The course schedule is displayed for planning purposes – courses can be modified, changed, or cancelled. Course availability will be considered finalized on the first day of open enrollment. For quarterly enrollment dates, please refer to our graduate education section.