Statistical Models and Methods for Risk Management and Surveillance
STATS 243P

Spring 2015
Contents of the book
Chapter1
Chapter 9
Stats 243: Financial Models and Statistical
Methods in Active Risk Management
Tze Leung Lai
Stanford University
January 8, 2015
Tze Leung Lai
Stats 243: Financial Models and Statistical Methods in Active
Contents of
Statistical Models and Methods for Risk Management and Surveillance
STATS 243P

Spring 2015
Credit scoring and credit ratings
Discriminant analysis and classication
Logistic regression and generalized models
Survival analysis
Stats 243: Financial Models and Statistical Models
in Active Risk Management
Tze Leung Lai
Stanford University
January 16
Statistical Models and Methods for Risk Management and Surveillance
STATS 243P

Spring 2015
Logistic regression and generalized models (Section
Survival analysis (Section
Estimation of VaR and other risk measures (Section
Backtesting and stress testing ( Section
2.3)
2.4)
1.3)
1.4)
Stats 243: Financial Models and Statistical Models
in Active Ris
Statistical Models and Methods for Risk Management and Surveillance
STATS 243P

Spring 2015
Regression models for hazard functions with covariates(Section 2.4.3)
BlackScholes theory of derivative pricing and hedging (Section 4.1)
Stats 243: Financial Models and Statistical Models
in Active Risk Management
Tze Leung Lai
Stanford University
Janua