25840 Integrated Risk Management

Subject level: Postgraduate

Handbook description

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.