RISK Management Science | The Chinese University of Hong Kong

RMSC1101

Elementary Concepts in Risk Management

This is an elementary course that introduces current issues and special topics in risk management. Students are required to present and discuss books and current articles in the related topics assigned by the instructor. Advisory: For majors only.

Reading

Simulation & Programming

RMSC2001

Introduction to Risk Management

This course aims at providing a focused introduction to various concepts of risk and risk measures from a scientific perspective. The course will discuss the various roles that risk plays in insurance and financial applications. Current risk measures such as value at risk and shortfall risk will be introduced. These measures will be calculated for recent financial losses to illustrate their usefulness in risk management.

Risk Measures

Insurance

Derivative Pricing

RMSC2101

Introductory Topics in Risk Management

This is an intermediate course aiming at introducing current issues and special topics in risk management. Students are required to read books and articles in the related topics assigned by the instructor. Advisory: For majors only.

Reading

Career Planning

RMSC3001

Principles of Credit Risk Management

This course introduces the general methodology for credit risk management – how should we handle the possibility our counterparty may not pay us what they owe? Answering this question depends on who the counterparty is and the nature of our contract with them. As such, in this course we explore credit risk models for retail customers, credit risk measures for portfolios, credit mitigation techniques for markets, credit derivatives used by traders and much else besides, all in the context of the latest Basel regulations and the lessons learned from Credit Crisis of 2007-8.

Derivative Pricing

Statistical Learning

Credit Risk

RMSC3101

Special Topics in Risk Management

This is an advanced course aiming at introducing current issues and special topics in risk management. Students are required to present books and current articles in the related topics assigned by the instructor. Advisory: For majors only.

Reading

Market Topics

RMSC4001

Simulation Methods for Risk Management Science and Finance

This course starts with presenting standard topics in simulation including random variable generations, variance reduction methods and statistical analysis of simulation outputs. The course then reviews the applications of these methods to derivative security pricing. Topics addressed include: importance sampling, martingale control variables, stratification and the estimation of derivatives. Additional topics include the use of low discrepancy sequence (quasi-random numbers), pricing American options and scenario simulation for risk management.

Derivative Pricing

Simulation & Programming

RMSC4002

Financial Data Analytics with Machine Learning

This course covers modern data analysis techniques that are commonly used in finance and risk management. Topics include applications of multivariate techniques for data cleansing and modeling such as principal component analysis and canonical correlation analysis to asset management, Extreme Value theory, Value-at-Risks, GARCH modeling in estimating volatility, time series methods in term-structure analysis. Besides, the next few introductory topics in machine learning will also be covered, such as recommender system, logistic regression, k-means clustering, perceptrons, decision trees, artificial neural network, stochastic gradient descent, Naive Bayes Classifiers and Bayesian networks.

Simulation & Programming

Asset Management

Risk Measures

Market Topics

RMSC4003

Statistical Modelling in Financial Markets

This course is designed to introduce the current developments in risk management in the financial markets. Risk management ideas associated with three general important areas in finance will be discussed: asset management, derivative pricing and fixed income models. Emphasis will be placed on the statistical modelling aspects on some of the commonly used models in these areas.

Modelling

Derivative Pricing

Stochastic Calculus

Asset Management

RMSC4004

Theory of Risk and Insurance

This course covers the theory of risk and its applications to insurance. Topics include: classical and stochastic risk models, ruin theory, claims modelling and evaluations, risk premium pricing, loss distributions and creditability theory.

Insurance

Modelling

Actuarial

RMSC4005

Stochastic Calculus for Finance and Risk

This course starts with the introduction of the concepts of arbitrage and risk-neutral pricing. It then proceeds to discuss the stochastic calculus foundations for continuous-time finance models. Topics include: Brownian motion, stochastic integral, Itô's formula, Girsanov's change of measure, and the relationship between stochastic calculus and partial differential equations. Examples will be taken from equity options, including the Black-Scholes formula for foreign exchange and term-structure models.

Derivative Pricing

Stochastic Calculus

RMSC4006

Operational Risk Management

This course introduces the general methodology for operational risk management. Special emphasis will be placed on the analytical and modeling techniques for operational risk. Contents include Basel regulations, loss models, extreme value theory, copula, operational value-at-risk and operational risk derivatives. Machine learning techniques for managing operational risk will also be explored. The use of statistical packages R will be demonstrated.

Modelling

Risk Measures

RMSC4007

Risk Management with Derivatives Concepts

This course aims at understanding the application of derivatives theories for the practical risk management. It starts by reviewing basic concepts of pricing and hedging derivatives, like risk-neutral valuation, arbitrage strategies, hedging strategies, implied volatilities and the Greeks. The Value-at-Risk framework for derivatives positions is discussed. Student will also learn how to apply option theoretic approach to credit risk management. Specifically, the capital structure model will be applied to measure the default probability. The Moody's KMV methodology and CreditRisk+ are introduced. Advisory: For Risk Management Science, Quantitative Finance and Risk Management Science, Statistics majors only.

Derivative Pricing

Simulation & Programming

Market Topics

RMSC4102

Research Project

This course provides students with the opportunity to apply their knowledge to solve real-world problems. Students are required to complete a group project, give a final project presentation and submit a written report, on which their assessment is based. Advisory: For majors only.

Research

RMSC4112

Research Project in Risk Analytics

In this course, students are required to review selected readings in academic journal in Statistics and Risk Management. Students are required to form a group to complete a project, in which the latest techniques of Risk Analytics are applied to tackle a real-world problem. They are also required to submit an interim and final written report, on which their assessment will be based. Advisory: For majors only.

Research

RMSC4202

Practicum

The course serves to provide a bridge between the classroom and the real business world. Students will be required to complete a group project assigned by a company or an organization on a part-time basis. A team of three to five students will undertake a project under the joint supervision of an instructor and a member of the company or organization. Students will be required to give a final project presentation and submit a written report, on which their assessment will be based. Advisory: For majors only.

Career Planning

RMSC4212

Practicum in Risk Analytics

Students will join practicum in a financial-technology themed or start-up themed company on a full-time or part-time basis. Students are required to complete assignments about risk analytics jointly issued by the course instructor and a member of the company. They are also required to submit an interim and final written report, on which their assessment will be based. Advisory: For majors only.

Career Planning