RM 704
Risk Measurement · 3 credits · Fall 2026
Requirements
Pre/coreq: RM 701. Open to Risk Management MS degree and Advanced Certificate students only.
About this course
This course provides an in-depth review of the fundamentals of probability and statistics, followed by the measurement of various risk types. The course examines instances of market failure, the role of collateralization requirements, the impact of term, time horizon, and covariance, and extreme value theory. The course also covers probabilistic and stochastic risk modeling, calculations of value-at-risk, stress testing, and other risk metrics, and the limitations of each of these measures.
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