Risk Measurement & Management
VaR, expected shortfall, stress tests, and model governance.
Risk management prices what can go wrong before it happens. This track builds the measurement stack: a taxonomy of market, credit, liquidity, operational, and model risk; value-at-risk and its coherent successor expected shortfall; stress testing and backtesting as the audit loop; then counterparty exposure, credit modeling, and model-risk governance for what hides off the price tape.
Risk Taxonomy
Market Risk
Value-at-Risk
One number summarizing tail loss, computed parametrically, historically, or by simulation.
Expected Shortfall
Average the bad tail beyond VaR, and the risk measure becomes coherent.
Stress Testing
Design scenarios that are severe enough to teach and plausible enough to act on.
Backtesting Risk Models
Count the days VaR was breached and let statistics judge the model.
Beyond Market Risk
Credit Risk
Default probability, loss given default, and exposure, modeled structurally or by intensity.
Counterparty Risk
Derivatives create two-sided credit risk that must be netted, collateralized, and valued.
Model Risk & Governance
Models are wrong in structured ways, so validation and governance carry the quant’s duty.