2022-2023 Undergraduate and Graduate Bulletin (with addenda) 
    
    Jul 24, 2024  
2022-2023 Undergraduate and Graduate Bulletin (with addenda)

FRE-GY 6041 Extreme Risk Analytics

1.5 Credits
The course covers failures of financial theory in risk management, deriving from fundamental definitions and assumptions in modeling, including pricing formulae; convexity; stochasticity and volatility; “fat tails”; and risk. Other topics: Portfolio robustness and extreme markets and moral hazard; datamining biases and decision error; and decision- making with incomplete information.

Prerequisite(s): Graduate Standing
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0