Module 2 - Quantitative Risk & Return

In module two, you will learn about the classical portfolio theory of Markowitz, the capital asset pricing model and recent developments of these theories. We will investigate quantitative risk and return, looking at econometric models such as the ARCH framework and risk management metrics such as VaR and how they are used in the industry.

Portfolio Management
Fundamentals of Optimization and Application to Portfolio Selection
Value at Risk and Expected Shortfall
Asset Returns: Key, Empirical Stylised Facts
Volatility Models: The ARCH Framework
Risk Regulation and Basel III/IV
Collateral and Margins

Lecture order and content may occasionally change due to circumstances beyond our control. However, this will never affect the quality of the program.

Previous Module
Building Blocks of Quantitative Finance
Next Module
Equities & Currencies