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MSC 622 - Enterprise Risk Management

Course Description: 

This course focuses on the two main silos of risk in the financial industry, namely, credit risk and operational risk. The course will also discuss asset and liability management, interest rate risk management, integration of credit risk and market risk, regulatory and compliance issues and performance measurement and capital management. The quantitative aspects of the course include: volatility and correlation modeling, Monte Carlo simulation, stress-testing scenarios analysis, and extreme and tail events modeling.

Credit: 

(3-0-3)

Prerequisite: 

[(MSC 512 and MSC 631)]

Corequisite: 

None