| Module code | WTW 712 |
| Qualification | Postgraduate |
| Faculty | Faculty of Natural and Agricultural Sciences |
| Module content | An introduction to Markowitz portfolio theory and the capital asset pricing model. Analysis of the deficiencies in these methods. Sensitivity based risk management. Standard methods for Value-at-Risk calculations. RiskMetrics, delta-normal methods, Monte Carlo simulations, back and stress testing. |
| Module credits | 15.00 |
| Programmes | |
| Prerequisites | Enrolment for WTW 732 required. |
| Contact time | 1 lecture per week |
| Language of tuition | English |
| Academic organisation | Mathematics and Applied Maths |
| Period of presentation | Year |
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