CFRM 546: Financial Risk Management II

This is a course in quantitative risk management and financial econometrics. The focus will be on the statistical modeling of financial time series (asset prices and returns) with an emphasis on modeling volatility and correlation for quantitative risk management. The learning goals/objectives of the course are to (1) survey the relevant theoretical and practical literature; (2) introduce state-of-the-art techniques for modeling financial time series and managing financial risk; (3) use the open source R statistical software to get hands-on experience with real world data. Topics to be covered include:

  • Empirical properties and stylized facts of asset returns
  • Probability distributions and statistical models for asset returns
  • Risk concepts
  • Volatility modeling
  • Extreme value theory
  • Multivariate dependence using copulas
  • Introduction to credit risk models and management


Eric Zivot
McNeil, Frey, and Embrechts, Quantitative Risk Management: Concepts, Techniques, and Tools, University Press, 2005. (Required) Danielsson, Jon. Financial Risk Forecasting: The theory and practice of forecasting market risk... Wiley Finance (recommended).
R and R Finance Packages
CFRM 542 Financial Data Modeling and Analysis in R and its pre-requisites, or equivalent.