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ACTSC 445Quantitative Enterprise Risk Management

Units
0.50
Faculty
Mathematics
Subject
Actuarial Science

When it runs

  1. F24
  2. W25
  3. S25
  4. F25
  5. W26
  6. S26
  7. F26
  8. W27
  9. S27

Ran in 5 of the last 7 terms. Winter 2027: not on the schedule. Spring 2027: schedule not out yet.

This course introduces enterprise risk management, with a focus on quantitative analysis and economic capital. Risk classification is first discussed with an emphasis on the types of risk most suited to quantitative methods. Risk measures, such as Value-at-Risk (VaR) and Conditional Tail Expectation (CTE or TVaR), are then introduced and their use by firms and regulators to determine risk capital requirements is further highlighted. Different approaches are considered for developing loss distributions, including frequency/severity analysis and extreme value theory. Copulas and economic scenario generators are used to aggregate dependent risks. Different strategies for mitigating or transferring risk are reviewed. Additional topics that may be covered include credit risk, capital allocation, and regulation of financial institutions.

Prerequisites

Antirequisites

  • Complete all of the following
    • Not completed nor concurrently enrolled in any of the following:
      • AFM422 - Management of Financial Institutions (0.50)
      • MATBUS472 - Risk Management (0.50)
    • Not completed nor concurrently enrolled in:

Leads to

No course lists it as a requisite.

Fall 2026 sections

Enrolment from UW Open Data, which can trail Quest by up to two days. Instructors and rooms: Schedule of Classes.
SectionClassEnrolledMeets
LEC 001595638 / 90MW 10:00–11:20

Reviewed on UW Flow

50% liked it35% easy75% useful

From 22 ratings and 3 comments on UW Flow. The most helpful comments, quoted as written, without names. Read them all on UW Flow.

  • Exceptionally easy first part of course. Regular easy rest of course. For a 4th year ActSc course, as easy as it gets! Probably less difficult than most 3rd year actsc or stat courses.

    Aug 2013 · liked it · 1 found this helpfulOn UW FlowRemove this

  • Content is extremely interesting, so far most interesting ACTSC course I've ever taken. In most other STAT/ACTSC courses, we care more about the properties like mean & variance, etc, of a distribution, but in this course we focus more on the tail behaviour, and the joint tail behaviour under the multivariate context. I find this course not as difficult as people said, but definitely not an easy course. Ended up with high 80s, I'll say very easy to pass but get over 90 requires more work and better understanding. Personally, I find the middle part a bit hard (extreme value theory), the beginning and the end relatively easy. Took it with Erik Hintz, he's the goat prof, fair and approachable.…

    Aug 2024 · liked itOn UW FlowRemove this

  • Not difficult but useful. I love final projects for which I can choose any topic related to QRM. There are three midterms in total, which are very basic and there is no difficult calculation. The scoring scheme is also very kind, with the highest at 25% in the midterm, the worst at 16%, and another one at 21%. It is very easy to get a score above 90%, or even 95%.

    Apr 2023 · liked itOn UW FlowRemove this

Discussed on r/uwaterloo

61 posts and comments in 56 threads mention ACTSC 445, January 2012 to December 2024. Quoted word for word, newest first; each reply sits under the post and the comment that started its branch. Search r/uwaterloo for newer posts.

Spring 2023

Winter 2023

A course about understanding finance and why ppl don’t chase quant jobs 10 points, 7 comments

“I’ve seen a course called topics in mathematics with application in finance (from an unknown Waterloo of the south impostor school). …”

u/radicaldog1111: “Actsc 221/231 is somewhat similar to what you’ve mentioned. There are also many other actsc courses that are related to mathematical finance”

u/radicaldog1111: “Just looked, there is also actsc372 (corporate finance), actsc271 (intro to investments), actsc445 (quantitative risk management), actsc446 (math of financial markets), actsc454 (predictive analysis), stat374 (quantative foundations for finance) + a handful of other stats …”

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Fall 2022

Spring 2022

Can any current math/CS students let me know their current course load and term? 10 points, 24 comments

“Which courses? And how difficult does it feel for you? Just trying to get an idea of how I should plan my courses.”

u/Fatdayuu: “4A Pure Math: 7 courses and it’s hard but not that hard (because I only have one Pmath course this term)”

u/Fatdayuu: “CS 480, CS 231, PMATH 352, ECON 102, AFM 102, STAT 444, ACTSC 445. I think the only hard courses for me in this term are CS480, STAT 444 and Actsc 445, other courses are trivial. I can take one course in coop, which is also trivial”

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Fall 2021

Spring 2021

ACTSC445 0 points, 0 comments

u/Ok_Understanding7072: “hey, does anyone in actsc445 want to swap to other courses? The class is full but I need to take it as a prereq for other courses for the fall term, so I want to ask if I can enroll in the class. thanks in advance!”

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ACTSC445 1 point, 0 comments

u/Ok_Understanding7072: “hey, does anyone in actsc445 want to swap to other courses? The class is full but I need to take it as a prereq for other courses for the fall term, so I want to ask if I can enroll in the class. thanks in advance!”

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Check it elsewhere for Fall 2026

Calendar versions

Undergraduate Calendar