uwloo

ACTSC 845Quantitative Enterprise Risk Management

Units
0.50
Level
Graduate
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

None listed.

Antirequisites

  • Not completed nor concurrently enrolled in:
    • ACSTC445

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 00160420 / 10MW 10:00–11:20

Discussed on r/uwaterloo

3 posts and comments in 2 threads mention ACTSC 845, October 2017 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.

Fall 2017

PSA: UWCourseLinker back up, disabled by default, call with [[course code]] 39 points, 31 comments

u/RayDWatson: “… [[ACTSC634]] [[ACTSC635]] [[ACTSC690]] [[ACTSC831]] [[ACTSC832]] [[ACTSC833]] [[ACTSC845]] [[ACTSC846]] [[ACTSC853]] [[ACTSC855]] [[ACTSC859]] [[ACTSC862]] [[ACTSC863]] [[ACTSC936]] [[ACTSC961]] [[ACTSC963]] [[ACTSC964]] [[ACTSC965]] [[ACTSC966]] [[ACTSC970]] [[ACTSC971]] …”

u/UWCourseLinker: “… ACTSC 831 - Loss Models 1 ACTSC 832 - Loss Models 2 ACTSC 833 - Analysis of Mortality Data ACTSC 845 - Quantitative Enterprise Risk Management ACTSC 846 - Mathematics of Financial Markets ACTSC 853 - Basic Pension Mathematics ACTSC 855 - Advanced Life Insurance Practice ACTSC …”

View on RedditRemove this

Any way to disable UWCourseLinker from posting? 16 points, 26 comments

“posting a reply to my comment I find the bot annoying.”

u/Jackhofmann: “PSYCH 483 PSYCH 484 PSYCH 485 PSYCH 486 PSYCH 490R PSYCH 499A PSYCH 499B PSYCH 499C PSYCH 621 PSYCH 630 PSYCH 677A PSYCH 704A PSYCH 704B PSYCH 707 PSYCH 710 PSYCH 714 PSYCH 717 PSYCH 720A PSYCH 721A …”

u/Jackhofmann: “… ACTSC 432 ACTSC 445 ACTSC 446 ACTSC 462 ACTSC 611 ACTSC 612 ACTSC 613 ACTSC 614 ACTSC 615 ACTSC 845 ACTSC 846 ACTSC 970 ACTSC 972 ACTSC 974 ACTSC 991 AFM 101 AFM 102 AFM 123 AFM 131 AFM 202 AFM 203 AFM 204 AFM 231 AFM 272 AFM 273 AFM 291 AFM 321 AFM 323 AFM 328 AFM 329 AFM 333 …”

View on RedditRemove this

Check it elsewhere for Fall 2026

Calendar versions

Graduate Calendar

Older Graduate Calendars

In 42 terms, Fall 2006 to Winter 2024