|RMI 8300||Predictive Risk Modeling|
This course presents econometric techniques used to quantify risk exposures faced by individuals and corporations. The course emphasizes the microeconometric analysis of risk illustrated by examples including retail credit scoring, bankruptcy prediction, predictive loss modeling, stochastic loss reserving and others. Econometric techniques covered include generalized linear modeling, count models, survival regressions, and neural network analysis. Emphasis is placed on students gaining real world experience by being asked to estimate the models using data sets supplied by the instructor. The course is intended for graduate students in economics, business, finance, and actuarial science seeking to increase their ability to empirically model risk exposures in various settings.