Financial Risk

Module code: MA4073

A crucial topic in financial and actuarial disciplines is to evaluate risk. The aim of this module is to provide an introduction to the most popular theories for risk measurement and discuss the applications of these theories.

The module begins with the standard mean-variance portfolio theory and the capital asset pricing model. You will discuss the main drawbacks of these theories and the need for alternatives. You will also study expected utility theory, value-at-risk, average value-at-risk, coherent risk measures, and discuss the applications of these theories, with emphasis on portfolio optimization.