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"quant的老师就是研究金融数学的" <--- 這麼理所當然的也好意思拿出來講.........
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引用我另一個帖寫過的, intro to quant risk management真的很intro........(這個是summer 2018的.)
cheesechan 发表于 2020-2-5 08:55
ERMC 5350 Intro to Quantitative Risk Management
那內容教甚麼呢? 看看learning objective:
LO1: Demonstrate a solid foundation in basic probability, statistics, and coding for risk management.
LO2: Use matrix algebra to calculate portfolio variance, calculate state transitions, and model yield curves.
LO3: Use differential calculus to estimate the sensitivity of models to different risk drivers.
LO4: Rapidly model risk scenarios in Excel or in code.
LO5: Evaluate models in terms of quality-of-fit and risk-reward.
LO6: Describe the impact of distribution and correlation assumptions in risk modeling
嗯, 目測大概還是有本科year 2 to 3的水平的.
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