Brandeis International Business School

FIN 285A — Computer Simulations and Risk Assessment

Prerequisite: FIN 201a or FIN 203a.

Introduces the computational tools and show how they can be used in various forms of ļ¬nancial risk assessment and portfolio construction. We will look at classic risk methods such as exponentially weighted moving average model and GARCH model, and also other modern methods such as conditional forecasting and copulas. We will apply these concepts through practical examples such as construction of index ETFs and risk-parity strategies. Students are asked to do hands-on programming through both research projects and homework. This course has been taught in various programming languages and current iteration is done through Python. Usually offered every year.
Ying Becker and Qingxi Xia