RMSC 4006

Operational Risk Management (2020-21 Spring)

Class Information

Instructor

Tutorial Information

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

Lecture notes and other course materials can be downloaded from Blackboard.

Learning outcomes

Upon finishing the course, students are expected to

Tutorial notes and videos