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.

Required text(s)

Market risk

Jorion, P, Value-at-Risk, McGraw-Hill, 2006, 3rd edn

Credit risk

Schönbucher, PJ, Credit Derivatives Pricing Models: Model, Pricing and Implementation, John Wiley, 2003.

Recommended text(s)

Dowd, K. Measuring Market Risk, John Wily and Sons, 2005, 2nd edn

Crouhy, M., Galai, D. and Mark, R., The Essentials of Risk Management, McGraw-Hill, 2006

Bielecki, T. and Rutkowski, M.: Credit Risk Modelling, Valuation and Hedging. Springer 2002

Bluhm, C., Overbeck, L., Wagner, C., An Introduction To Credit Risk Modelling, Chapman-Hall, 2002

Duffie, D. and Singleton, K., Credit Risk: Pricing, Management, and Measurement (Princeton Series in Finance), Princeton University Press, 2003.

Indicative references

Course website

All course materials will be provided to students in hardcopy or via the course website (http://online.uts.edu.au). This will include lecture slides, additional lecture notes, assignments and data. Please check the website regularly for any announcements and for additional useful links/electronic resources.