Quantitative Risk

Quantitative Risk is an emerging field that addresses risk in banking, financial and related areas. The financial crisis of 2008 showed the urgent need for high-level skills in the evaluation of risk, and the Basel II compliance regime in banking has increased the demand for skills in the area.

Courses in Quantitative Risk at UNSW cover the methods used in banks and financial institutions to measure and mitigate their risk, especially in the regulatory framework of Basel II.

Topics covered include:

  • types of risk: market, credit, operational risk and their characteristics;
  • the banking environment, regulation, and capital reserving;
  • risk at the macro level;
  • economic capital and RAROC;
  • the VaR formalism;
  • statistical issues on sensitivity to data:
  • heavy tails, heteroskedasticity, mean reversion, robustness of correlation estimates;
  • credit ratings;
  • special problems of operational risk;
  • combination of risks and attribution

Please note: this major is only available within the Advanced Mathematics degree, or one of the joint degrees with Advanced Mathematics.

Bachelor of Science (Advanced Mathematics)
The Advanced Mathematics program is aimed at high achieving students who wish to specialise in mathematics as a basis for the increasing range of quantitative careers in areas such as finance, environmental modelling and research.