Financial Models and Statistical Methods in Risk Management

STATS243P

Stanford School of Humanities and Sciences


Financial Models and Statistical Methods in Risk Management

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.

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

Prerequisites

STATS240P or equivalent

Tuition & Fees

For course tuition, reduced tuition (SCPD member companies and United States Armed forces), and fees, please click Tuition & Fees.

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