MATH2881 is a Mathematics Level II course.

Units of credit: 6

Prerequisites: MATH1231 or MATH1241 or MATH1251 or ECON1203 (CR).

Exclusions: N/A

Cycle of offering: TBC

Graduate attributes: The course will enhance your research, inquiry and analytical thinking abilities.

More information: This provisional outline course handout (pdf) contains information about course objectives, assessment, course materials and the syllabus.

The Online Handbook entry contains up-to-date timetabling information.

MATH2881 is a core course for the Quantitative Risk major in Advanced Mathematics but is also available generally.

If you are currently enrolled in MATH2881, you can log into UNSW Moodle for this course.

The School is grateful for the continued support of our sponsor SAS. The sponsor will operate a (voluntary) work placement program for students of the course.

Course description

The course introduces the methods used in banks and financial institutions to measure and mitigate their risk. It deals with the regulatory framework of bank risk and introduces the statistical methods for market, credit and operational risk, such as Value-at-Risk and issues concerning predictions from financial data.