Financial Risk Analytics

MS&E
246
Instructors
Chen, G. (TA)
Giesecke, K. (PI)
Section Number
1
Practical introduction to financial risk analytics. The focus is on data-driven modeling, computation, and statistical estimation of credit and market risks. Case studies based on real data will be emphasized throughout the course. Topics include mortgage risk, asset-backed securities, commercial lending, consumer delinquencies, online lending, derivatives risk. Tools from machine learning and statistics will be developed. Data sources will be discussed. The course is intended to enable students to design and implement risk analytics tools in practice. Prerequisites: MS&E 245A or similar, some background in probability and statistics, working knowledge of R, Matlab, or similar computational/statistical package.
Grading
Letter (ABCD/NP)
Units
3
Graduate
Course Tags
Resources, Environment, and Energy Policy - Electives
Academic Year
Quarter
Winter
Section Days
Tuesday Thursday
Start Time
3:15 PM
End Time
4:45 PM
Location
Huang Engineering Center 18