RISK ANALYSIS IN FINANCE
Année du cours : 1 année(s)
Etablissement : IÉSEG School of Management
Langue : English
Formation(s) dans laquelle/lesquelles le cours apparait :
Période : S1
Calculus (differentiation and integration); random variables and the main probability distributions (both discrete and continuous); expectation and variance of a random variable; knowledge of the main financial markets; calculation of the return and volatility of an asset.
This is an accessible course for students that have bachelor 3 level knowledge of probability, mathematics and finance.
At the end of the course, the student should be able to:
-Identify and describe the main types of random variables and probability laws used in finance
-Explain and illustrate the use of random variables and probability laws in risk management
-Apply probability models and compute parameters in order to make risk management decisions
This course covers mathematical tools used to model risk in finance. The course reviews notions seen at the Bachelor level but in a more formal way, and with financial applications and exercises. These tools are important for the understanding of the material of other financial courses such as Options and Futures, Credit Risk, and Active Portfolio Management, Market Risk Management, etc.
Content:
1-Continuous and discrete random variables, expectations, variances and moments.
2-Continuous and discrete univariate distribution functions with applications
3-Bivariate distribution functions with applications
4-Sequence of random variable and central limit theorem (if time allows)
