Financial Models and Statistical Methods in Active Risk Management

STATS243

Stanford School of Engineering

Certificates/
Programs:

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Description

This course covers statistical topics related to market risk, credit risk, and credit markets. Students will analyze logistic regression, generalized linear models and generalized mixed models to understand why loan prepayment and default are competing risks. Explore how banking and bank regulation impacts asset and liability management.

Prerequisites

STATS240 or equivalent

Topics include

  • Back testing, stress testing, and Monte Carlo methods
  • Censored data, survival analysis and hazard functions
  • Correlated default intensities
  • Frailty and contagion
  • Risk surveillance
  • Early warning and adaptive risk control methodologies