| Academic Year |
2025 |
| Offering Department |
SCDS (Department of Statistics and Actuarial Science) |
Quota |
|
| Course Co-ordinator |
(Dr Alfred CHONG, Department of Statistics and Actuarial Science) |
| Teachers Involved |
(Dr Alfred CHONG, Statistics & Actuarial Science) |
| Course Objectives |
This course covers more in-depth topics in quantitative risk management including risk measures, copulas and dependence, risk aggregation and capital allocation, dynamic portfolio management and advanced topics in extreme value theory. Students having foundation knowledge in elementary risk modelling can advance to this course to further their study in quantitative risk analysis. |
| Course Contents & Topics |
Risk measures; Copulas and dependence; Risk aggregation and capital allocation; Dynamic portfolio management; Advanced topics in extreme value theory such as self-exciting POT model, multivariate maxima, and multivariate thresholds exceedances |
| Course Learning Outcomes |
On successful completion of this course, students should be able to:
| CLO 1 |
Understand the theories and applications of risk measures |
| CLO 2 |
Apply copula modelling on dependence structure |
| CLO 3 |
Apply risk aggregation techniques for capital allocation |
| CLO 4 |
Understand further topics in quantitative risk management such as dynamic portfolio management and advanced topics in extreme value theory |
|
Pre-requisites
(and Co-requisites and
Impermissible combinations) |
Pass or already enrolled in STAT4607 or STAT4608 |
| Offer in 2025 - 2026 |
N
|
Examination |
May
|
| Offer in 2026 - 2027 |
Y |
| Course Grade |
A+ to F
|
| Grade Descriptors |
| A | Demonstrate thorough mastery at an advanced level of extensive knowledge and skills required for attaining all the course learning outcomes. Show strong analytical and critical abilities and logical thinking, with evidence of original thought, and ability to apply knowledge to a wide range of complex, familiar and unfamiliar situations. Apply highly effective organizational and presentational skills. |
|---|
| B | Demonstrate substantial command of a broad range of knowledge and skills required for attaining at least most of the course learning outcomes. Show evidence of analytical and critical abilities and logical thinking, and ability to apply knowledge to familiar and some unfamiliar situations. Apply effective organizational and presentational skills. |
|---|
| C | Demonstrate general but incomplete command of knowledge and skills required for attaining most of the course learning outcomes. Show evidence of some analytical and critical abilities and logical thinking, and ability to apply knowledge to most familiar situations. Apply moderately effective organizational and presentational skills. |
|---|
| D | Demonstrate partial but limited command of knowledge and skills required for attaining some of the course learning outcomes. Show evidence of some coherent and logical thinking, but with limited analytical and critical abilities. Show limited ability to apply knowledge to solve problems. Apply limited or barely effective organizational and presentational skills. |
|---|
| Fail | Demonstrate little or no evidence of command of knowledge and skills required for attaining the course learning outcomes. Lack of analytical and critical abilities, logical and coherent thinking. Show very little or no ability to apply knowledge to solve problems. Organization and presentational skills are minimally effective or ineffective. |
|---|
|
| Communication-intensive Course |
N |
| Course Type |
Lecture-based course |
Course Teaching
& Learning Activities |
| Activities |
Details |
No. of Hours |
| Lectures |
|
36.0 |
| Tutorials |
|
12.0 |
| Reading / Self study |
|
100.0 |
|
Assessment Methods
and Weighting |
| Methods |
Details |
Weighting in final
course grade (%) |
Assessment Methods
to CLO Mapping |
| Assignments |
Coursework (assignments, tutorials, and class test(s)) |
40.0 |
1,2,3,4 |
| Examination |
One 2-hour written examination |
60.0 |
1,2,3,4 |
|
Required/recommended reading
and online materials |
McNeil, A. J., Frey, R., and Embrechts, P. (2015). Quantitative Risk Management: Concepts, Techniques and Tools (Revised Edition). Wiley. |
| Course Website |
http://moodle.hku.hk |
| Additional Course Information |
|