Numerical Methods in Risk Management

Module code: EC7103

Module co-ordinator: Carlos Diaz Vela

In this module you will study the key numerical techniques that underlie modern risk management. You will learn the C++ programming language, which you can use to solve risk problems during your degree.

Topics covered

  • Basic C++ programming
  • Declaration and use of functions
  • Creation and use of user-defined classes
  • Numerical integration
  • Numerical optimisation
  • Introduction to Monte Carlo methods
  • Introduction to software architecture


  • 10 two-hour lectures
  • 10 one-hour practical classes


  • Exam, 1 hour (25%)
  • 3 x coursework assessments (75%)