ORIE 6630

Last Updated

  • Schedule of Classes - July 10, 2025 1:15PM EDT
  • Course Catalog - June 11, 2015 6:21PM EDT

ORIE 6630
Risk Measures

Course information provided by the 2014-2015 Catalog.

This is an introductory course in the axiomatic theory of risk measures. In the first part of the course we will introduce the axiom sets for monetary, convex and coherent risk measures. We will then characterize risk measures in terms of their acceptance sets and  discuss the financial applications to regulatory capital. In the second part of the course we will discuss the relation between coherent risk measures and convex game theory. The last part of the course will be dedicated to systemic risk measures and the allocation of risk to the components of a system.


Prerequisites/Corequisites Prerequisite: MATH 4310 or an equivalent. First half of ORIE 6500.

When Offered Fall. (Weeks 8-14)

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Syllabi: none

  •   Seven Week - Second. 

  • 2 Credits Stdnt Opt

  • 18307 ORIE 6630   LEC 001

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  • Instruction Mode: In Person