IEOR E4602: Quantitative Risk Management
I last taught this advanced-level MS course in fall 2016 in the IE&OR Department at Columbia University. It is an elective course for the MS in Financial Engineering and MS in Operations Research programs at Columbia. I will not be posting solutions to the assignments or code / software so please don’t send me an email asking me to do so! A syllabus and description of the course logistics can be found here.
Lecture Notes
- Basic Concepts & Techniques of Risk Management and slides
- Multivariate Distributions and slides
- Dimension Reduction Techniques and slides
- An Introduction to Copulas and slides
- Risk Measures, Risk Aggregation and Capital Allocation and slides
- Model Risk and slides (The maths behind the some of the derivatives models in these notes is somewhat advanced. Students were not expected to know this.)
- Asset Allocation and Risk Management and slides
- Monte-Carlo Methods for Risk Management and slides
- Extreme Value Theory (The course never made it this far in 2016)
- Risk Management & Time Series (Nor did the course get this far in 2016)
A brief review of some derivatives pricing theory can be found here. It might be of some use for some parts of the course.
Assignments
- Assignment 1 and spreadsheet and explanatory file
- Assignment 2 and spreadsheet
- Assignment 3 and spreadsheet and Matlab file
- Assignment 4
- Assignment 5
- Assignment 6
- Assignment 7
- Assignment 8 (From the 2015 version of the course when some of the earlier topics weren’t covered in as much detail as they were in 2016)