- Code ACST4061
- Unit Value 6 units
- Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
- ANU College ANU College of Business and Economics
- Course subject Actuarial Studies
- Areas of interest Actuarial Studies, Finance, Statistics
* quantitative risk modelling and risk aggregation tools and techniques
* different risk measures
* the use of models in the ERM decision-making process, and
* methods and techniques for assessing and evaluating market risk, credit risk, operational and other risks.
Upon successful completion, students will have the knowledge and skills to:Upon successful completion of the requirements for this course, students should have the knowledge and skills to:
1. Describe in detail the properties and limitations of common risk measures.
2. Explain how models can be used in the ERM decision-making process.
3. Demonstrate an understanding and be able to explain the different quantitative techniques for modelling and measuring risk including:
* Risk aggregation methods
* Statistical distributions
* Time series techniques
* Extreme value theory
4. Recommend and communicate appropriate models for risk assessment based on quantitative and qualitative analysis.
5. Assess and explain the different types of risk within an organisation including: market risk, credit risk, operational and other risks.
This subject, in conjunction with ACST4060/ACST8060 provides the opportunity for exemption from Module 1 of the Part III academic requirements of the Actuaries Institute. Such exemption depends on the grades attained over both subjects.
Indicative AssessmentTypical assessment may include, but is not restricted to: a written assignment, a mid-semester exam and a final exam.
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Students are expected to commit at least 10 hours per week to completing the work in this course. This will include at least 3 contact hours per week and up to 7 hours of private study time.
Requisite and Incompatibility
Tuition fees are for the academic year indicated at the top of the page.
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- Student Contribution Band:
- Unit value:
- 6 units
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