FN 673 Mathematics for Finance Practitioners
Risk managers need to have a sound understanding of mathematics and statistics. The course covers important statistical concepts including volatility, regression analysis, and hypothesis testing. Popular models of risk measurement such as Value-at-Risk, factor analysis, Monte Carlo simulations, and stress testing are studied. Functioning of the mathematical/statistical concepts is demonstrated with practical risk management problems (e.g., bond pricing, portfolio credit risk, and optimal hedging).