Risk Analysis and Quantitative Asset Allocation (IFTE0006)

Key information

Faculty: Faculty of Engineering Sciences
Teaching department: Civil, Environmental and Geomatic Engineering
Credit value: 15

Restrictions: Only students enrolled on the MSc Banking and Digital Finance can take this module.
Timetable

Alternative credit options

There are no alternative credit options available for this module.

Description

This module aims to provide students with an overview of quantitative techniques that are relevant to asset allocation and portfolio risk management. The module is organised by areas of quantitative techniques, and each session will be accompanied by practical examples, including financial, mathematical, and statistical basics.

Learning Outcomes

Perform multivariate regression and factor modelling
Perform principal component analysis
Apply statistical and mathematical tools, optimisation techniques and estimation of risk in regard to portfolio optimisation
Use Monte Carlo simulation in asset allocation
Understand of value at risk and other risk metrics

Reading List:

Market Risk Analysis, Volume I: Quantitative Methods in Finance, Carol Alexander, John Wiley & Sons, 2008.

Chapter I.1 Basic Calculus for Finance

Chapter I.2 Essential Linear Algebra for Finance

Chapter I.3 Probability and Statistics

Module deliveries for 2024/25 academic year

Intended teaching term: Term 2 听听听 Postgraduate (FHEQ Level 7)

Teaching and assessment

Mode of study: In person
Intended teaching location: 果冻影院 East
Methods of assessment: 100% Exam
Mark scheme: Numeric Marks

Other information

Number of students on module in previous year: 35
Module leader: Dr Joo Hee Lee
Who to contact for more information: ift-teaching@ucl.ac.uk

Last updated

This module description was last updated on 8th April 2024.

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Important information

The catalogue has been updated with key information about the modules that will run during the 2024/25 academic session. Current and prospective students can browse through the catalogue to consider possible module choices for the coming year.

Please note,听information in the catalogue is听subject to change as teaching and assessment arrangements for 2024/25 may need to be adjusted in line with the University's Feedback and Assessment principles and operating model.

Centrally managed exam durations will be provided on students' individual exam timetables. Arrangements for locally managed exams and in-class activity will be confirmed by the teaching department for the module.

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