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Spring 2020 Industrial Engineering and Operations Research E4602 section 001
QUANTITATIVE RISK MANAGEMENT
QUANTITATIVE RISK MANAGE

Call Number 14101
Day & Time
Location
MW 10:10am-11:25am
1127 Seeley W. Mudd Building
Points 3
Grading Mode Standard
Approvals Required None
Instructor Agostino Capponi
Type LECTURE
Course Description Prerequisites: (STAT GU4001) and (IEOR E4106) Risk management models and tools; measure risk using statistical and stochastic methods, hedging and diversification. Examples of this include insurance risk, financial risk, and operational risk. Topics covered include VaR, estimating rare events, extreme value analysis, time series estimation of extremal events; axioms of risk measures, hedging using financial options, credit risk modeling, and various insurance risk models.
Web Site Vergil
Department Industrial Engineering and Operations Research
Enrollment 39 students (80 max) as of 4:38PM Thursday, July 2, 2020
Subject Industrial Engineering and Operations Research
Number E4602
Section 001
Division School of Engineering and Applied Science: Graduate
Campus Morningside
Section key 20201IEOR4602E001

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SIS update 07/02/20 16:38    web update 07/02/20 18:20