Postgraduate Course: Economic and Asset Models (CMSE11063)
Course Outline
| School |
Business School |
College |
College of Humanities and Social Science |
| Course type |
Standard |
Availability |
Available to all students |
| Credit level (Normal year taken) |
SCQF Level 11 (Postgraduate) |
Credits |
10 |
| Home subject area |
Common Courses (Management School) |
Other subject area |
None |
| Course website |
None |
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| Course description |
The course aims to balance technical and applied knowledge, providing an understanding of the models applied in academia and in practice.
Course objectives cover:
• nominal yields curves
• real yield curves
• inflation
• fixed income returns and yields
• index linked bond returns and yields
• exchange rates
• analysis of credit spreads, returns and yields on credit-risky assets
• equity-type asset returns and yields
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Entry Requirements
| Pre-requisites |
|
Co-requisites |
|
| Prohibited Combinations |
|
Other requirements |
None
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| Additional Costs |
None |
Course Delivery Information
Summary of Intended Learning Outcomes
ECSG allows students to combine advanced stochastic asset models, with a broad range of calibrations, within a Monte Carlo simulation framework. It addresses key market risk concerns of banks and Bancassurers, enables students to achieve an understanding of:
- Group wide economic capital assessment and internal performance measurement.
- Meeting the specific demands of Basel II, Pillar 2.
- Isolating and providing a framework for dealing with the "Diversification benefit"
- Consistently bringing together the risks associated with a range of business areas, including insurance subsidiaries and pension funds.
- Comprehensive and consistent asset class coverage. Allowing students to understand and quantify aspects such as diversification benefit, risk decomposition and a range of risk metrics.
- Stress testing Capital positions in a consistent, comprehensive correlated manner using our best estimate calibration models
- Examining benefits of alternative capital structures and hedging strategies
- Deal with disclosures required by Pillar 3
The ECSG allows students to use a consistent framework that defines the statistical asset models for business needs.
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Assessment Information
Two sessions of course work counting for 50% each. Coursework submission will be timetabled to take place prior to the study week and one after the course is complete.
50% - Risk factor analysis - was 2008 a tail event?
50% - Combining risk factors and balance sheet asset positions - economic capital projection and analysis for a financial institution
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| Please see Visiting Student Prospectus website for Visiting Student Assessment information |
Special Arrangements
| Not entered |
Contacts
| Course organiser |
Mr Gavin Kretzschmar
Tel: (0131 6)50 2448
Email: Gavin.Kretzschmar@ed.ac.uk |
Course secretary |
Ms Caroline Leburn
Tel: (0131 6)51 3854
Email: Caroline.Leburn@ed.ac.uk |
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copyright 2010 The University of Edinburgh -
1 September 2010 5:45 am
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