Quantitative Risk Modeling

3.00 credit hours

This course exposes students to state-of-the-art quantitative techniques in risk modeling. The course covers the analytical as well as simulation based implementation of different types of risk models using Excel, including several Value-at-Risk (VaR) models. It also covers volatility modeling, correlation estimation, extreme value theory, back-testing, and stress testing of risk models. This course is for MSFC students in Shanghai, China only.

No Syllabus Available



Anurag Gupta


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Weatherhead School of Management
Case Western Reserve University

10900 Euclid Avenue
Cleveland, Ohio 44106-7235 USA

216.368.2030

weatherhead@case.edu