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Module Title: 
Risk Theory and Risk Management
Module Code: 
DSA6333

Course Content

Introduction to Risk, the Nature of Risks, Types of Risks, Management of Risk

Risk models. Several models, probability and consequences of ruin, Cramer-Lundberg. Premium principles.Bayesian statistics, Credibility Theory.

Advanced Risk Models, including dynamic optimal reinsurance strategies.

Mean-variance portfolio theory, Utility theory; risk aversion.

Capital asset pricing model; discussion of the efficient market hypothesis.

Risk measures, such as Value at Risk and Tail Value at Risk; properties of risk measures.

Multivariate models for market risk: aggregate risk, loss distributions; multivariate normal distributions and normal variance mixture distributions.

Copulas: definition; Sklars theorem; Archimedean copulas; dependence

Credit risk management; types of model; Merton model; Markov chain model for credit ratings; exposure upon default; dependence between default events

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African Center of Excellence in Data Science(ACE-DS)

Head Office:UR College of Business & Economics

E-mail:   aceds@ur.ac.rw

Phone:(+250) 788484421