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ACTL3301 Quantitative Risk Management
Course Details & Outcomes
Course Description
Australia is vulnerable to natural disasters with the highest economic consequences. Typical examples include heatwaves, floods, cyclones, bushfires, and earthquakes, many of which are on the rise in both frequency and severity. Similarly, financial market losses have significant impacts on financial institutions and society. This course introduces students to advanced statistical and actuarial models for a variety of risks in financial institutions such as banks, insurance/reinsurance companies, and superannuation funds. The course explores quantitative methods of risk measurement and modelling, with a special focus on extreme losses, extreme dependence, and loss aggregation over time. Topics covered include: risk measures; multivariate models; copulas and dependence; financial time series; extreme value theory; market credit and operational risk. Students will be implementing the models using computer software.
Course Aims
This course introduces students to advanced statistical and actuarial models for a variety of risks in insurance and finance with a special focus on extreme losses, extreme dependence, and loss aggregation over time. Applications to financial institutions such as banks, insurance/reinsurance companies, and superannuation funds will be explored. Students taking this course should be proficient with calculus and linear algebra. This is an advanced course but will be made as self-contained as possible. Moreover, students are expected to have a good understanding of probability, statistics, and stochastic modelling as covered in ACTL2131 and ACTL2102, and have a background of applying probability and statistics to insurance models as covered in ACTL3162. While the course will stress fundamentals and explore topics at a somewhat technical level, it will be made as self-contained as possible so that students with slightly different background described can still follow.
Relationship to Other Courses
Prerequisite ACTL2102 or ACTL3142
Course Learning Outcomes
| Course Learning Outcomes | Program learning outcomes |
|---|---|
| CLO1 : Understand aspects of the theory and practice of quantitative risk modelling for insurance and financial risks as covered in the course aims. |
|
| CLO2 : Assess models used for risk management in practice and their advantages and shortcomings. |
|
| CLO3 : Estimate and apply various models for practical applications. |
|
| CLO4 : Review and analyse more advanced risk models. |
|
| CLO5 : Identify and evaluate relevant research literature on current developments in quantitative risk modelling. |
|
| CLO6 : Use effective presentation, discussion and report writing skills for explaining risk-modelling concepts used in quantitative risk management. |
|
| Course Learning Outcomes | Assessment Item |
|---|---|
| CLO1 : Understand aspects of the theory and practice of quantitative risk modelling for insurance and financial risks as covered in the course aims. |
|
| CLO2 : Assess models used for risk management in practice and their advantages and shortcomings. |
|
| CLO3 : Estimate and apply various models for practical applications. |
|
| CLO4 : Review and analyse more advanced risk models. |
|
| CLO5 : Identify and evaluate relevant research literature on current developments in quantitative risk modelling. |
|
| CLO6 : Use effective presentation, discussion and report writing skills for explaining risk-modelling concepts used in quantitative risk management. |
|
Learning and Teaching Technologies
Moodle - Learning Management System | EdStem
Learning and Teaching in this course
The course textbooks, lectures, and assessment tasks are designed to provide a framework for your learning. Every student has a different approach to learning. How much time you spend on reading in preparation for lectures, completing assessment tasks, reviewing course objectives, deepening your understanding and preparing for final examinations will depend on your learning approach. Lectures will generally cover the main concepts and issues and will not necessarily cover all the details of the course readings or texts. It is expected that you have read the reading material for the lecture in advance. Students who are successful in this course take an active approach to learning.
Additional Course Information
Additional information will be released on Moodle course website.
Assessments
Assessment Structure
| Assessment Item | Weight | Relevant Dates | Program learning outcomes |
|---|---|---|---|
|
Take-home Formative Quiz 1
Assessment FormatIndividual
|
10% | ||
|
Assignment
Assessment FormatIndividual
|
20% |
Start DateWeek 6, with details to be announced.
Due DateWeek 8, with details to be announced.
|
|
|
Take-home Formative Quiz 2
Assessment FormatIndividual
|
10% | ||
|
Final Examination
Assessment FormatIndividual
|
60% |
Start DateNot Applicable
Due DateNot Applicable
|
|
Assessment Details
-
Take-home Formative Quiz 1
Assessment Overview
There will be two written take-home exams in weeks 5 and 9, respectively. Details about the exams will be announced on the course website. The exam will require written responses, and students will earn marks for correct explanations of the main concepts and issues examined in each question. Marks for calculation questions will be awarded for mathematical working, as well as part marks for incorrect responses with the correct method and reasoning. The exam will test not only the students' knowledge of the material but also the depth of their understanding of it.
Assesses: PLO1, PLO2, PLO3 and PLO5.
Course Learning Outcomes
- CLO1 : Understand aspects of the theory and practice of quantitative risk modelling for insurance and financial risks as covered in the course aims.
- CLO2 : Assess models used for risk management in practice and their advantages and shortcomings.
- CLO3 : Estimate and apply various models for practical applications.
-
Assignment
Assessment Overview
The assignment aims to develop students' research skills and ability to concisely and coherently present ideas. The assignment will involve the application of course concepts to data analysis and practical risk management decision-making. There will be one major assignment task. Details will be provided on the course website. Students will be awarded marks for accuracy of results, presentation, reasonableness checks applied, and technical details. Dates regarding the assignment are to be announced. While working together on the assignment problems is encouraged, the material submitted for assessment must be their own.
Assesses: PLO2, PLO3 and PLO5.
Course Learning Outcomes
- CLO1 : Understand aspects of the theory and practice of quantitative risk modelling for insurance and financial risks as covered in the course aims.
- CLO2 : Assess models used for risk management in practice and their advantages and shortcomings.
- CLO3 : Estimate and apply various models for practical applications.
- CLO6 : Use effective presentation, discussion and report writing skills for explaining risk-modelling concepts used in quantitative risk management.
Detailed Assessment Description
The assignment aims to develop students' research skills and ability to concisely and coherently present ideas. The assignment will involve the application of course concepts to data analysis and practical risk management decision-making. There will be one major assignment task. Details will be provided on the course website. Students will be awarded marks for accuracy of results, presentation, reasonableness checks applied, and technical details. Dates regarding the assignment are to be announced. While working together on the assignment problems is encouraged, the material submitted for assessment must be their own.
Assessment Length
About two weeks
Submission notes
Assignments must be submitted via the Turnitin submission box, which is available on the course website.
Assessment information
Please note that assignments MUST be submitted prior to the due time and date. The School of Risk and Actuarial Studies has a policy of grading late assignments with a zero mark, so punctual submission of work is required to satisfy the requirements of the course. Turnitin will not accept any late submissions. The assignment may be marked at the discretion of the course coordinator if there is a valid reason for late submission and used in cases where your final overall results are marginal.
Assignment submission Turnitin type
This assignment is submitted through Turnitin and students can see Turnitin similarity reports.
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Take-home Formative Quiz 2
Assessment Overview
There will be two written take-home exams in weeks 5 and 9, respectively. Details about the exams will be announced on the course website. The exam will require written responses, and students will earn marks for correct explanations of the main concepts and issues examined in each question. Marks for calculation questions will be awarded for mathematical working, as well as part marks for incorrect responses with the correct method and reasoning. The exam will test not only the students' knowledge of the material but also the depth of their understanding of it.
Assesses: PLO1, PLO2, PLO3 and PLO5.
Course Learning Outcomes
- CLO1 : Understand aspects of the theory and practice of quantitative risk modelling for insurance and financial risks as covered in the course aims.
- CLO2 : Assess models used for risk management in practice and their advantages and shortcomings.
- CLO3 : Estimate and apply various models for practical applications.
-
Final Examination
Assessment Overview
The final examination will be a 2-hour written paper that aims to assess the achievement of the learning outcomes of the course. The exam will assess critical analysis, problem-solving skills, and written communication skills. Calculators will be allowed in the final exam, but students must show a clear indication of all the steps involved in their calculations. The exam will require written responses, and students will earn marks for correct explanations of the main concepts and issues examined in each question. Part marks will also be awarded for incorrect responses with the correct method and reasoning. The exam will test not only the students' knowledge of the material but also the depth of their understanding of it.
Assesses: PLO1, PLO2, PLO3 and PLO5.
Course Learning Outcomes
- CLO1 : Understand aspects of the theory and practice of quantitative risk modelling for insurance and financial risks as covered in the course aims.
- CLO2 : Assess models used for risk management in practice and their advantages and shortcomings.
- CLO3 : Estimate and apply various models for practical applications.
Detailed Assessment Description
The final examination will be a 2-hour written paper that aims to assess the achievement of the learning outcomes of the course. The exam will assess critical analysis, problem-solving skills, and written communication skills. Calculators will be allowed in the final exam, but students must show a clear indication of all the steps involved in their calculations. The exam will require written responses, and students will earn marks for correct explanations of the main concepts and issues examined in each question. Part marks will also be awarded for incorrect responses with the correct method and reasoning. The exam will test not only the students' knowledge of the material but also the depth of their understanding of it.
Assessment Length
2 hours
Submission notes
University Examination Period
Assessment information
Additional information will be released on the Moodle course website.
Assignment submission Turnitin type
Not Applicable
General Assessment Information
Additional information will be released on Moodle course website.
Grading Basis
Standard
Requirements to pass course
Additional information will be released on Moodle course website.
Course Schedule
| Teaching Week/Module | Activity Type | Content |
|---|---|---|
| Week 0 : 20 May - 26 May | Reading |
Get ready for the beginning of the course. |
| Week 1 : 27 May - 2 June | Lecture |
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| Week 2 : 3 June - 9 June | Lecture |
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| Week 3 : 10 June - 16 June | Lecture |
|
| Week 4 : 17 June - 23 June | Lecture |
|
| Week 5 : 24 June - 30 June | Lecture |
|
| Assessment |
Formative Midterm, Take-home, 1 hour equivalent |
|
| Week 6 : 1 July - 7 July | Reading |
Flexibility Week, no lecture |
| Week 7 : 8 July - 14 July | Lecture |
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| Week 8 : 15 July - 21 July | Lecture |
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| Assessment |
Assignment Due, Take-home |
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| Week 9 : 22 July - 28 July | Lecture |
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| Assessment |
Formative Midterm, Take-home, 1 hour equivalent |
|
| Week 10 : 29 July - 4 August | Lecture |
|
Attendance Requirements
Students are strongly encouraged to attend all classes and review lecture recordings.
General Schedule Information
Additional information will be released on Moodle course website.
Course Resources
Prescribed Resources
The website for this course is on Moodle, which contains the following information:
- Announcements
- Course outline
- Lecture slides and recording
- Tutorial exercises and solutions
- Online quizzes and assignment information and feedbacks
- Final exam information and instruction
The prescribed textbooks for the course are:
- McNeil, A.J., Frey, R. and Embrechts, P., 2015. Quantitative Risk Management: Concepts, Techniques and Tools (Second Edition). Princeton University Press.
- Chan, N.H., 2010. Time Series: Applications to Finance with R and S-Plus (Second Edition). John Wiley & Sons.
Recommended Resources
Additional information will be released on the Moodle course website.
Additional Costs
Not applicable.
Course Evaluation and Development
The lecturer in charge (LIC) has taught this course multiple times and has always received very high course evaluations. This time, the LIC will follow the established approach and make further innovations, and is optimistic about achieving another successful collaboration with the students throughout the term.