Module 1

Foundations of Risk Measurement

Led by

Professor Costis Maglaras

January 13 & January 20, 2010

6:30 - 9:30 p.m.

This module offers an overview of the essential tools of statistical analysis used in the quantitative analysis of financial instruments and risk management. These tools are all used in downstream modules of the Risk Management course. The mathematical prerequisites are minimal –perhaps similar to those of a newly admitted MBA student, and prior knowledge of statistics and probability is not assumed.

Module Outline

Descriptive Statistics

• Mean, median, mode, weighted averages
• Standard deviation, variance, coefficient of variation, Chebyshev's rule, Normal approximation
• Skew Kurtosis
• Covariance, correlation coefficient

Introduction of probability

• Rules of Probability
• Conditional Probability, independence

Random Variables

• Discrete distributions, joint distribution
• Expected Value
• Variance, covariance

Probability Distributions

Regression

The mathematical prerequisites for this course are similar to those of a newly admitted MBA student.  Prior knowledge of statistics and probability is not assumed.

(program outline subject to change)

REGISTRATION

Click here to download the enrollment form.

You may register for this individual modules by clicking on Register Online to the left, or register for the Complete Course in Professional Risk Management which consists of all eight modules.  Seating preference will be given to those who register for the Complete Course program.  Sustaining members of PRMIA receive discounted prices.

Register on-line or by contacting Jill Fisher at 612-216-5497 or jill.fisher@prmia.org.

Invoicing is available by contacting Jill Fisher at 612-216-5497 or jill.fisher@prmia.org.

CANCELLATION

A refund (less a US $100 administration fee) will be made if formal notice of cancellation is received two weeks prior to the date of the event.  We regret that no refunds will be made after that date.  Substitutions may be made at no extra charge.

Dr. Maglaras is a Professor at the Graduate School of Business at Columbia University in the division of Decision, Risk & Operations. His research focuses on quantitative pricing and revenue management, and the economics, design, and operations of service systems. He has authored over 20 scientific articles, spanning theory and applications, most recently focusing on the application of quantitative pricing models in real estate and in the design of portfolio trading systems. He holds editorial positions is most of the flagship journals of his fields of study, he is the recipient of several research and teaching awards, he is a frequent speaker in academic and industry forums, and a frequent consultant to industry.

(DISCLAIMER:  This program may be changed or cancelled due to unforeseen circumstances).