IDS/MATH 583

This course prepares students with the knowledge, techniques and practices of risk management necessary to pursue careers in quantitative risk management in financial markets and banking services. Students will learn about the various forms of risk that a financial institution faces, including market risk, credit risk, operational risk, etc. The course discusses how data science and quantitative methods are used to model, measure, and mitigate these risks in order to make prudent risk-return decisions. The course includes case studies of failures of major financial institutions and focuses on ways to manage and hedge risk using derivatives. The course also provides a brief overview of financial products and derivatives such as options, futures, and swaps, etc., as well as banking products and services, as needed to facilitate the discussion of risk management.

Prerequisites:

  • College-level calculus, Linear Algebra (e.g., MATH 216, 218 0r 211), probability and statistics (e.g., MATH/STA 230, MATH 340/STA 231 or Math 238L/EGR 238L).
  • Basic programming skills in Python, R or SAS
  • While prior knowledge in finance is not required, some basic understanding of economics, finance, and financial institution is preferred. Intellectual curiosity and independent study habits are strongly desired.

Hands-on class projects will account for the major part of a student’s final grade.