Postgraduate Course: Enterprise Risk Management (MATH11060)
Course Outline
School |
School of Mathematics |
College |
College of Science and Engineering |
Course type |
Standard |
Availability |
Available to all students |
Credit level (Normal year taken) |
SCQF Level 11 (Postgraduate) |
Credits |
15 |
Home subject area |
Mathematics |
Other subject area |
Financial Mathematics |
Course website |
None
|
Taught in Gaelic? |
No |
Course description |
This course will,
- provide an introduction to the statistical methods underpinning financial risk management
- teach students the different methods of assessing financial risk
- equip students with a variety of tools to tackle problems involving financial time series |
Entry Requirements
Pre-requisites |
|
Co-requisites |
|
Prohibited Combinations |
|
Other requirements |
None
|
Additional Costs |
None |
Information for Visiting Students
Pre-requisites |
None |
Displayed in Visiting Students Prospectus? |
No |
Course Delivery Information
|
Delivery period: 2010/11 Semester 1, Not available to visiting students (SS1)
|
WebCT enabled: No |
Quota: None |
Location |
Activity |
Description |
Weeks |
Monday |
Tuesday |
Wednesday |
Thursday |
Friday |
No Classes have been defined for this Course |
First Class |
First class information not currently available |
Exam Information |
Exam Diet |
Paper Name |
Hours:Minutes |
Stationery Requirements |
Comments |
Main Exam Diet S2 (April/May) | | : | | |
Summary of Intended Learning Outcomes
On completion of the course the student should be able to:
- Demonstrate an understanding of the different reasons for measuring financial risk.
- Describe and apply the different measures of financial risk
- Determine the main characteristics of a univariate financial time series
- Use appropriate statistical and computational methods to determine the fatness of the tails of returns data
- Describe and apply the main univariate distributions to financial data
- Describe and apply the fundamental concepts and theorems in Extreme Value Theory (EVT)
- Describe how analysis of financial data using EVT differs from traditional statistical methods
- Describe and apply the main statistical methods in EVT to financial data
- Determine the main characteristics of a multivariate financial time series
- Discuss the appropriateness of the linear correlation coefficient as a measure of the dependency between two random variables
- Determine whether or not the returns on a multivariate financial time series can be described by an i.i.d. multivariate normal series
- Demonstrate how multivariate returns can be described using marginal distributions and copulas
- Describe and apply the main copulas
- Explain how the use of different copulas can affect the returns distribution on a portfolio containing two assets
- Describe some empirical techniques that can be applied to financial time series data to establish the presence of stochastic volatility
- Describe some simple time series models for stochastic volatility and explain how these affect the distribution of returns over time. |
Assessment Information
Coursework not more than 30%, Examination at least 70% |
Special Arrangements
None |
Additional Information
Academic description |
Not entered |
Syllabus |
Not entered |
Transferable skills |
Not entered |
Reading list |
Not entered |
Study Abroad |
Not entered |
Study Pattern |
Not entered |
Keywords |
ERM |
Contacts
Course organiser |
Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk |
Course secretary |
Mrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk |
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copyright 2011 The University of Edinburgh -
13 January 2011 6:21 am
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