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Jan 15, 2025
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2020-2022 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]
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FRE-GY 6041 Extreme Risk Analytics1.5 Credits
The course covers failures of financial theory in risk management, deriving from fundamental definitions and assumptions in modeling, including pricing formulae; convexity; stochasticity and volatility; “fat tails”; and risk. Other topics: Portfolio robustness and extreme markets and moral hazard; datamining biases and decision error; and decision- making with incomplete information.
Prerequisite(s): Graduate Standing
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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