MSRM 752 - Financial Markets and VaR (2)
This course examines the different types of risk that arise across a variety of different assets due to the characteristics of the assets and the structure of the markets they trade in. Advanced Value at Risk models that capture the non-linear nature of certain derivatives and market structures are developed. Scenario analysis is examined as a way to evaluate "one-off" risks as well as a way to stress test VaR models and their assumptions in extreme scenarios. Restricted to Financial Analysis, Investor Relations, Business Administration, Business Administration, Business Administration, Business Administration, Financial Analysis, and Risk Management majors.