FA 636 Advanced Risk Analytics
Given the advancement of statistical tools, the course aims to leverage state-of-the-art analytics for financial risk management. The course begins with an overall introduction to risk models such as market, credit, and operational risk. The course then evolves to discuss volatility predictive models using time series analysis and machine learning. It will also discuss multivariate risk systems, copulas, and shrinkage-based techniques for risk assessment. The second half of the course is mostly dedicated to credit risk management. This part of the course will focus on utilizing predictive analytics to develop early warning systems for corporate credit risk. The course will cover recent research articles and statistical computing libraries as part of the learning objectives.Note: The main topics of the course are in line with the Financial Risk Manager (FRM) Part II. The course can be viewed as a continuation of QF435 or FE535.