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STATS 243: Risk Analytics and Management in Finance and Insurance (CME 243)

Market risk and credit risk, credit markets. Back testing, stress testing and Monte Carlo methods. Logistic regression, generalized linear models and generalized mixed models. Loan prepayment and default as competing risks. Survival and hazard functions, correlated default intensities, frailty and contagion. Risk surveillance, early warning and adaptive control methodologies. Banking and bank regulation, asset and liability management. Prerequisite: STATS 240 or equivalent.
Terms: not given this year | Units: 3 | Grading: Letter or Credit/No Credit

STATS 243P: Risk Analytics and Management in Finance and Insurance

For SCPD students; see STATS243.
Terms: not given this year | Units: 3 | Grading: Letter or Credit/No Credit
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