Handbook

Australia is vulnerable to natural disasters with the highest economic consequences. Typical examples include heatwaves, floods, cyclones, bushfires, and earthquakes, many of which are on the rise in both frequency and severity. Similarly, financial market losses have significant impacts on financial institutions and society. This course introduces students to advanced statistical and actuarial models for a variety of risks in financial institutions such as banks, insurance/reinsurance companies, and superannuation funds. The course explores quantitative methods of risk measurement and modelling, with a special focus on extreme losses, extreme dependence, and loss aggregation over time. Topics covered include: risk measures; multivariate models; copulas and dependence; financial time series; extreme value theory; market credit and operational risk. Students will be implementing the models using computer software.