At the end of the course, the student will possess an adequate mathematical terminology, learned the main quantitative and computational tools to be able to work in the risk management unit of a bank or insurance company.
Expected learning outcomes
At the end of the course, the student will know the basic elements of the Basel and Solvency regulatory frameworks for banks and insurance companies; will possess an adequate mathematical terminology and learned the main quantitative tools related to the study of risk variables and measures in quantitative risk management; will be able to recognize statistically the presence of an elliptical or heavy-tailed distribution and determine its influence on a risk portfolio; will be able to code a software for the computation of the capital reserve needed by a financial institution to comply with the above regulatory frameworks; will be aware of the basic quantitative tools to perform the stochastic aggregation of various typologies of risks.
Lesson period: Third trimester
(In case of multiple editions, please check the period, as it may vary)