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 (not applicable to Visiting Students)
| 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: 2011/12 Semester 1, Not available to visiting students (SS1)
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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 |
| No Exam Information |
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%. Examination held at Heriot-Watt University. |
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 - 16 January 2012 6:25 am
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