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.

Detailed subject description.

Fee information

2008 contribution for post-2008 Commonwealth-supported students: $1,062.38
Note: Students who commenced prior to 1 January 2008 should consult the Student contribution charges for Commonwealth supported students
Not all students are eligible for Commonwealth Supported places.

2008 amount for undergraduate domestic fee-paying students: $2,346.00

Note: Fees for Postgraduate domestic fee-paying students and international students are charged according to the course they are enrolled in. Students should refer to the Annual Fees Schedule.

Subject EFTSL: 0.125

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.