**IEOR E4602: Quantitative Risk
Management (Columbia University, Spring 2016)**

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! Finally,
please note that **I do not have time to
answer emails** asking me to clarify or explain issues arising in these notes
and assignments. 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)

10. 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)