Course Summary
Credit Type:
Organization's ID:
8 weeks (120 hours)
Dates Offered:
Credit Recommendation & Competencies
Level Credits (SH) Subject
Graduate 3 financial risk analysis and management


The course objective is to cover the most important principles, techniques and tools in financial quantitative risk analysis. It effectively combines theoretical sessions and real-world applications with classroom exercises to provide a comprehensive overview of Monte Carlo techniques. Students will discuss recent innovations in Monte Carlo methods using practical examples, case studies and interactive sessions. Using the @RISK software package and Excel, you will get comfortable with risk analysis modeling environments, and learn about common mistakes and how to avoid them.

Learning Outcomes:

  • Specify why and how a probability distribution is used in a financial model simulation
  • Learn about various probability distributions commonly used in financial applications
  • Understand uses of time-series models, and characterize the different components of a time series (trend, seasonality, autocorrelation, volatility, mean reversion)
  • Fit various autoregressive models to historical data (ARCH, GARCH, more)
  • Use various technique to include correlations within simulation models
  • Fit appropriate probability distributions to historical data, and assess the fit (AIC, etc.)
  • Interpret results from simulations models, including eNPV, Value at Risk (VaR), and the probability of negative NPV

General Topics:

  • Introduction to quantitative risk analysis and Monte Carlo
  • Univariate distributions
  • Descriptive statistics
  • Forecasting variables over time
  • Conceptual underpinnings of time-series
  • Including correlations in financial models
  • Model fitting
Instruction & Assessment

Instructional Strategies:

  • Audio Visual Materials
  • Case Studies
  • Coaching/Mentoring
  • Computer Based Training
  • Discussion
  • Practical Exercises
  • Project-based Instruction

Methods of Assessment:

  • Other
  • Quizzes
  • Project

Minimum Passing Score:

Supplemental Materials