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Quantitative Risk Management track

The Quantitative Risk Management track in the MSc Actuarial Science and Mathematical Finance provides an excellent grounding for your career as a risk manager. What makes this 1-year programme unique is that it incorporates all the latest international developments, such as bank regulation and advanced quantitative risk modelling. Also, you will gain insight in all up-to-date techniques and practices to kick-start your career. The Quantitative Risk Management track is one of 2 tracks you can choose from within this Master’s programme.

Help financial institutions deal with risks

How does a financial institution deal with financial uncertainty, liabilities, IT security threats and data-related risks? Risk management is all about identifying, assessing and controlling such threats to an organisation's capital and earnings. Since especially digital developments are moving increasingly fast, the field of risk management keeps bringing you interesting challenges to sink your teeth into.

About your lecturers

Your lecturers will be industry experts and leading researchers who conduct world-class research in the field. They are enthusiastic about introducing you to the latest developments and their theories on how to deal with new challenges in the risk management field.

The Quantitative Risk Management track will give you a solid preparation to become a highly sought-after (quantitative) risk management professional.

Track-specific courses and electives

  • Banking Risk Management

    In the 1st part of this course you will learn the basic principles and requirements governing banking regulation and supervision, aimed at safeguarding stable banks. We will analyse the risks as well as the remedies that were drawn up for bank risk management. You will also explore the changing structure of the broader financial system. The 2nd part of this course treats quantitative models for (portfolio) credit and liquidity risk management at an advanced level.

  • Financial Econometrics

    This course covers the following topics: linear time series analysis, volatility models, value at risk, VAR models and cointegration, multivariate volatility and correlation models and high-frequency data and realised variance. These topics are applied to empirical data using Python and R.

  • Electives

    Apart from the common and track-specific courses, we offer you a selection of electives to choose from:

    • Caput Insurance
    • Fixed Income Risk Management
    • Principles of the Mathematics and Economics of Risk
    • Quantitative Marketing
    • Retirement Savings and Investment Decisions
    • Stochastic Calculus

Real-life case: how to regulate and manage large banks

Brexit, the trade war between the US and China, climate and energy transition risks, household debts, cyber threats, and low interest rates put a constant pressure on the performance of banks, insurance companies and pension funds. Add the ever growing, complex and interconnected financial system, and the need for adequate regulatory policies and risk management practices is larger than ever.

  • Describe how the financial system works and why a well-functioning financial system is important for economic welfare.
  • Explain the main sources of systemic risk in the financial sector and give advice on financial sector policies to enhance financial stability.
  • Explain the implications of prudential policy, regulation, and supervision for banking risk management.
  • Understand and implement the econometric and mathematical models used in modern risk management.

These topics are important for regulatory bodies such as the Dutch Central Bank (DNB) and the European Central Bank (ECB), as well as risk departments within banks, pension funds, and insurance companies.

Up-to-date issues

Examples of real-life business cases and company projects you will discuss:

  • Financial data. What is an accurate way of modelling financial times series data?
  • Capital Buffers.  How should capital buffers of banks be determined such that the probability of another financial crisis is minimised?
  • Regulation. What issues do banks face when implementing the new bank regulation?

Quantative Risk and 1 other track

The Quantitative Risk Management track is 1of 2 tracks you can opt for in our MSc in Actuarial Science and Mathematical Finance. If you are curious about the General track, then read the information on this track.