FINANCIAL RISK ANALYSIS
- Module code: FN612A
- Credits: 7.5
- Semester: 2
- Department: ECONOMICS,FINANCE & ACCOUNTING
Investment objectives and their implications for risk metrics; variance, value-at-risk, expected shortfall and other statistical risk measures; factor models of security returns; credit and liquidity risk models; historical and Monte Carlo simulation; tail risk; stress testing; scenario analysis, risk dynamics, long-horizon risk planning.
On successful completion of the module, students should be able to:
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