25840 Integrated Risk Management

6cp

Requisite(s): 25838 Advanced Instruments

There are also course requisites for this subject. See access conditions.

Postgraduate

This subject introduces the theory and practice of integrated risk measurement and management with applications in value at risk, market and credit risk analysis for large diversified portfolios, extreme value analysis and coherent risk measurement. Techniques for large nonlinear diversified portfolios are explored. Theoretical problems related to value at risk, expected shortfall and risk adjusted capital allocation for large nonlinear portfolios are formulated and solved.

Fee information

2007 contribution for post-2004 Commonwealth-supported students: $889.75
2007 amount for undergraduate domestic fee-paying students: $2,280.00
Subject EFTSL: 0.125
Note: The above fees are applicable in 2007 for Commonwealth-supported students who commenced after 2004 and domestic fee-paying undergraduate students only. Pre-2005 Commonwealth-supported students should consult the Student contribution charges for Commonwealth supported students webpage.
Not all students are eligible for Commonwealth supported places, and not all subjects are available to Commonwealth supported students. Domestic fee-paying students and international students should refer to the Fees webpage.

Access conditions

Note: The requisite information presented in this subject description covers only academic requisites. Full details of all enforced rules, covering both academic and admission requisites, are available at Access conditions and My Student Admin.