STATS243
Risk Analytics and Management in Finance and Insurance
Statistics
H&S - Humanities & Sciences
Course Description
Market risk and credit risk, credit markets. Back testing, stress testing and Monte Carlo methods. Logistic regression, generalized linear models and generalized mixed models. Loan prepayment and default as competing risks. Survival and hazard functions, correlated default intensities, frailty and contagion. Risk surveillance, early warning and adaptive control methodologies. Banking and bank regulation, asset and liability management. Prerequisite: STATS 240 or equivalent.
Cross Listed Courses
Grading Basis
ROP - Letter or Credit/No Credit
Min
3
Max
3
Course Repeatable for Degree Credit?
No
Course Component
Lecture
Enrollment Optional?
No
Does this course satisfy the University Language Requirement?
No
Programs
STATS243
is a
completion requirement
for:
- (from the following course set: )