Risk Courses

 

 

 

 

 

 

 

 

 

Risk Management Courses

Risk Seminar

STAT 278B Spring 2014

In Spring 2014, there will be a section of STAT 278B, the Ph.D. seminar in the Department of Statistics, designated as the Risk Seminar. The Risk Seminar will focus on the statistical and economic measurement and management of risk, and include presentations by participants on a broad range of topics related to risk, such as the determination of portfolio returns, performance attribution, pricing anomalies, counterparty risk, and asset returns containaing jumps. This regularizes an informal seminar that has been meeting since the fall of 2012.

The seminar will be led by Lisa R. Goldberg and Robert M. Anderson. The seminar meets Tuesdays from 10 to 12 in 639 Evans.

The course is open to Ph.D. students only, and requires permission of the Instructors. Please email Robert Anderson to request permission.

Quantitative Risk Management I: Modeling and Measuring Financial Risk--This Course is not offered in 2013-2014.

 

Economics 296/ Statistics 260

Syllabus

 

 

The global financial crisis that began in 2007 resulted in trillions of lost dollars, millions of lost jobs and unquantifiable human suffering.  However, the impact of the crisis on the practice of risk management is more difficult to assess.  Have Dodd-Frank and Basel III made financial markets safer?  Is risk management an art?  a science?  a sham? Is the familiar analogy between financial markets and gambling casinos valid?  To what extent can quantitative methods borrowed from physical sciences, mathematics and statistics be used to measure and to manage financial risk?

 

This provocative course explores the current state-of-the art in financial risk management and provides an historical perspective on its evolution.  Risk analysis became part of finance in 1952 when Harry Markowitz formulated an investment decision as a tradeoff between portfolio expected return and variance.  In this setting, portfolio variance is the quantitative embodiment of risk. Markowitz's formulation launched six decades of vigorous, probabilistic research into the nature of financial risk.  A short list of important topics includes techniques for measuring risk, competing notions of diversification, portfolio construction and optimization, asset allocation, statistical evaluation of investment strategies, the econometrics of financial time series and the properties of financial derivatives.  We study these topics in the context of data limitations, regulatory constraints, market frictions and other practical considerations faced every day by financial practitioners.

 

The course will be taught by Robert M. Anderson, Lisa Goldberg, and Stephen W. Bianchi, CFA.  Anderson and Goldberg are the Director and Research Director of the Center for Risk Management Research at UC Berkeley.  Anderson is also Professor of the Graduate School and Professor Emeritus of Economics and Mathematics at Berkeley.  Goldberg recently retired as Executive Director of Research at MSCI Barra, the leading provider of quantitative risk management tools to the financial services industry, and is an Adjunct Professor of Statistics at Berkeley.  Bianchi is a graduate student in Economics at Berkeley; he previously worked in the fixed income research group at MSCI Barra.