FRM(R) Quantitative Methods
X51.9692 /
Continuing Education
/ $745
FALL 2008
This module is an intensive study of the mathematical and statisticalmethodologies used in risk management applications. The properties of several univariate and multivariate probability distributions are examined in detail, including moments and measures of dependence. Tail behavior is also examined, using Extreme Value Theory. Correlation is also analyzed, along with an introduction to copulas. Hypothesis testing and regression analysis are studied, while different methods of volatility modeling are analyzed. The properties of several key stochastic processes are considered in great detail, while Monte Carlo simulation is stressed throughout. Numerical methods are also considered, including root-finding techniques, unconstrained and constrained optimization. Fundamental linear algebra concepts are studied, including eigenvectors and eigenvalues and their use in principal components analysis.
Course Materials
Section 1
Saturday
10:00am-5:00pm
September 26 - September 27
Friday
6:00pm-9:00pm
September 26 - September 27
Class meets 9/26, 9/27
2 Sessions
Instructor:
Alan Anderson
Location: Woolworth Building, 15 Barclay
