RMSC 4006
Operational Risk Management (2020-21 Spring)
Class Information
Class time: M 1130-1415
Location: MMW LT1
ZOOM ID: 912 8667 7905
ZOOM PW: N/A
Instructor
Name: Chun Yip Yau
Email: cyyau@sta.cuhk.edu.hk
Office: LSB 110
Tel: 3943 7942
Office hour: M 1600-1800; Th 1600-1800
Tutorial Information
Tutorial time: F 1330-1415
ZOOM ID: 981 6718 6670
ZOOM PW: See Blackboard
Description
This course introduces the general methodology for operational risk management. Special emphasis will be placed on the analytical and modeling techniques for operational risk. Contents include Basel regulations, loss models, extreme value theory, copula, operational value-at-risk and operational risk derivatives. Machine learning techniques for managing operational risk will also be explored. The use of statistical packages R will be demonstrated.
Textbooks
Cruz, M. 2002. Modeling, Measuring and Hedging Operational Risk. John Wiley & Sons, London.
Hong Kong Institute of Bankers (HKIB) (2013). Operational Risk Management. Wiley.
Joe, H. (2006). An Introduction to Copulas. 2nd edition. Springer.
Panjer, H.H. 2006. Operational Risk - Modeling Analytics. John Wiley & Sons, New Jersey.
Coles, S. 2001. An Introduction to Statistical Modeling of Extreme Values. Springer Series in Statistics.
Lecture notes and other course materials can be downloaded from Blackboard.
Learning outcomes
Upon finishing the course, students are expected to
understand the Basel regulations on operational risk;
build statistical models for operational risk;
understand extreme value theory and copula models;
calculate operational value-at-risk and price operational risk derivatives;
use statistical software to conduct machine learning algorithms and statistical inference for operation risk models.
Tutorial notes and videos
Tutorial 1 (29 Jan)
Tutorial 2 (5 Feb)
Tutorial 3 (19 Feb)
Tutorial 4 (26 Feb)
Tutorial 5 (5 Mar)
Explanations on selected problems of midterm examination
Tutorial 6 (12 Mar)
Tutorial 7 (19 Mar)
Tutorial 8 (26 Mar)
Tutorial 9 (9 Apr)
Tutorial 10 (16 Apr)
Tutorial 11 (23 Apr)
Tutorial 12 (9 May)