MATH2881
Faculty of Science
School of Mathematics and Statistics
MATH2881
QUANTITATIVE RISK
Semester 2 2014
CRICOS Provider No: 00098G
1
MATH2881 – Course Outline
2
Information about the course
Lecturer: Mr Gregory Monahan, formerly Head of Risk Practice at SAS.
Email: gregory.monahan@unsw.edu.au
Mobile: 0408 475 380.
Further Internal UNSW contact :
Professor Jim Franklin,
Room 6109 Red Centre; ph : 9385 7093; email : j.franklin@unsw.edu.au
The School is grateful to SAS and to the Commonwealth Bank Of Australia for sponsorship of the course.
Credit
This course counts for 6 Units of Credit (6 UOC). It is a core course for the Quantitative Risk major in Advanced Science but is available to other students. Lecture: There will be one two-hour lecture per week:
Weeks 1-12 Thursday 4-6 pm in Room 149 in the Old Main Building.
Tutorial: You will be required to attend one one-hour tutorial per week:
Tutorials will be held in Weeks 2-13.
The tutorial will be held on Thursday 3-4 pm in Room 149 in the Old Main
Building in the Red Centre for all Weeks 2-13, except for certain weeks when it will be held in the laboratory in G12B and G12C in the Red Centre. You will be given notice by the lecturer of the tutorials held in laboratory.
Moodle: Further information, lecture notes, tutorial questions and other material will be provided via Moodle.
3
Prerequisites
The prerequisite for this course is any one of the following courses:
• MATH1231
• MATH1241
• MATH1251
• ECON1203 (credit or higher).
2
4
Rationale of the Course
With the increasing sophistication of risk analysis in banking and finance, driven especially by the BASEL II compliance regime, there is a strong demand for graduates with training in quantitative risk management. Such graduates are coming to form a profession of their own, related to bank risk as actuaries are related to insurance risk. Skill in statistics is the core of the new quantitative
School of Mathematics and Statistics
MATH2881
QUANTITATIVE RISK
Semester 2 2014
CRICOS Provider No: 00098G
1
MATH2881 – Course Outline
2
Information about the course
Lecturer: Mr Gregory Monahan, formerly Head of Risk Practice at SAS.
Email: gregory.monahan@unsw.edu.au
Mobile: 0408 475 380.
Further Internal UNSW contact :
Professor Jim Franklin,
Room 6109 Red Centre; ph : 9385 7093; email : j.franklin@unsw.edu.au
The School is grateful to SAS and to the Commonwealth Bank Of Australia for sponsorship of the course.
Credit
This course counts for 6 Units of Credit (6 UOC). It is a core course for the Quantitative Risk major in Advanced Science but is available to other students. Lecture: There will be one two-hour lecture per week:
Weeks 1-12 Thursday 4-6 pm in Room 149 in the Old Main Building.
Tutorial: You will be required to attend one one-hour tutorial per week:
Tutorials will be held in Weeks 2-13.
The tutorial will be held on Thursday 3-4 pm in Room 149 in the Old Main
Building in the Red Centre for all Weeks 2-13, except for certain weeks when it will be held in the laboratory in G12B and G12C in the Red Centre. You will be given notice by the lecturer of the tutorials held in laboratory.
Moodle: Further information, lecture notes, tutorial questions and other material will be provided via Moodle.
3
Prerequisites
The prerequisite for this course is any one of the following courses:
• MATH1231
• MATH1241
• MATH1251
• ECON1203 (credit or higher).
2
4
Rationale of the Course
With the increasing sophistication of risk analysis in banking and finance, driven especially by the BASEL II compliance regime, there is a strong demand for graduates with training in quantitative risk management. Such graduates are coming to form a profession of their own, related to bank risk as actuaries are related to insurance risk. Skill in statistics is the core of the new quantitative