ORIE 4656

Extreme Values in Finance

Course Description

Course information provided by the Courses of Study 2023-2024.

In order to be able to assess the risk associated with future extreme values in financial returns, a practitioner must have an idea how heavy the tails of the returns are and how they cluster. The practitioner must also be able to understand the extremal risks associated with a portfolio of financial instruments, potentially of a large size. In this course the students will learn to work with extreme values, to understand the difference between light tails and heavy tails, and learn how the largest return and the total return grow for different types of tails. They will also learn statistical techniques (mostly through R packages) used to work with extreme values.

When Offered Spring.

Prerequisites/Corequisites Prerequisite: ORIE 3500.

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