Risk management in energy markets [ LACTU2250 ]

Basic classes in statistics (e.g. INGE1214) and quantitative finance

Analysis of various risks in financial and alternative markets

Ability to evaluate and assess quantitative risks

Assignments (20%) and oral exam (80%)

Several practical assignments, to be solved on the computer, will be used to guideline the students throughout the class. The assignments will be evaluated.

This class introduces the student to the methodology used in
quantitative risk management. The topics cover basic concepts in risk management, risk measures, multivariate models, financial time series and measures of dependence. It will be focused on the statistical aspects and practical implementation of the discussed techniques.

« Quantitative Risk Management: Concepts, Techniques, and Tools » (2005) Alexander J. McNeil, Rüdiger Frey, and Paul Embrechts, Princeton Series in Finance.