Risk management in energy markets [ LACTU2250 ]

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

The prerequisite(s) for this Teaching Unit (Unité d’enseignement – UE) for the programmes/courses that offer this Teaching Unit are specified at the end of this sheet.

Analysis of various risks in financial and alternative markets

Ability to evaluate and assess quantitative risks

The contribution of this Teaching Unit to the development and command of the skills and learning outcomes of the programme(s) can be accessed at the end of this sheet, in the section entitled “Programmes/courses offering this Teaching Unit”.

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.