MTH5510 - Quantitative risk management - 2019

6 points, SCA Band 2, 0.125 EFTSL

Postgraduate - Unit

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.



Organisational Unit

School of Mathematical Sciences

Chief examiner(s)

Dr Hassan Fallahgoul


Dr Hassan Fallahgoul

Unit guides



  • Second semester 2019 (On-campus)


MTH3251 or MTH3260 or equivalent


Only students enrolled in the Master of Financial Mathematics can enrol in this unit. Exceptions can be made with permission from the unit co-ordinator.


Basic concepts of risk management and risk measures. Multivariate models. Copulas and dependence. Financial time series. Volatility models such as ARCH and GARCH processes. Aggregate risk. Extreme value theory. Market, credit, and operational risk models. Regulation and practice.


On completion of this unit students will be able to:

  1. Apply different aspects of the theory and practice of risk modelling for financial institutions.
  2. Understand different types of financial risks such as market, credit, and operational.
  3. Estimate various risk measures such as Value-at-Risk and Expected Shortfall for different type of risks of a financial institution.
  4. Construct and estimate various volatility processes such as ARCH and GARCH.
  5. Construct a multivariate model and calibrate its parameters to real financial data either by a multivariate distribution (top-down approach) or copula (bottom-up approach)
  6. Understand tail risk concept and quantify it based on either heavy tail distributions approach or extreme value theory.


NOTE: From 1 July 2019, the duration of all exams is changing to combine reading and writing time. The new exam duration for this unit is 3 hours and 10 minutes.

Examination (3 hours): 60% (Hurdle)

Continuous assessment: 40%

Hurdle requirement: To pass this unit a student must achieve at least 50% overall and at least 40% for the end-of-semester exam.

Workload requirements

Two 2-hour lectures per week

See also Unit timetable information