IE 432 Quantitative Risk Management
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Basic concepts and methods of risk management; the structure of risk and copulas; how to measure risk: VaR, coherent measures of risk, expected utility theory, the concept of stochastic dominance; extreme value theory; how to incorporate risk measures into stochastic optimization problems; applications in management, finance, and energy.
Credit units: 3 ECTS Credit units: 5, Prerequisite:
IE 202 or IE 400.
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