Postgraduate Course: Financial Risk Theory (MATH11132)
Course Outline
| School | School of Mathematics |
College | College of Science and Engineering |
| Course type | Standard |
Availability | Not available to visiting students |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Credits | 10 |
| Home subject area | Mathematics |
Other subject area | None |
| Course website |
None |
Taught in Gaelic? | No |
| Course description | This course presents approaches to model various financial risks. The
purpose is to learn the basic underlying mathematical concepts, to understand the economic rationale behind them through simple examples and to get an idea about how these methods can be implemented in practice.
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Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
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Co-requisites | |
| Prohibited Combinations | |
Other requirements | For admission to this course, a good understanding of probability at undergraduate level is required. If in doubt, please contact the Course Organiser. |
| Additional Costs | None |
Course Delivery Information
| Not being delivered |
Summary of Intended Learning Outcomes
- Knowledge of, and a critical understanding of, Markowitz portfolio theory.
- Knowledge of, and a critical understanding of, the utility functions theory.
- Knowledge of, and a critical understanding of, the Value-at-risk approach.
- Understanding of, and critical assessment of, different convex and coherent risk measures.
- Understanding of, and critical assessment of, different measures of dependence.
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Assessment Information
| Examination: 100% |
Special Arrangements
| MSc Financial Modelling and Optimization, MSc Mathematics and MMaths students only. |
Additional Information
| Academic description |
Not entered |
| Syllabus |
- Mean and variance. A quick look at Markowitz portfolio theory.
- Utility functions, certainty equivalent.
- Value-at-risk, calculation methods (historical, Monte Carlo). Drawbacks.
- Convex and coherent risk measures, examples.
- Measures of dependence: from covariance to copulas.
- Some statistical techniques (dimension reduction, factor analysis). |
| Transferable skills |
Not entered |
| Reading list |
- Follmer-Schied: Stochastic finance, Walter de Gruyter, 2004.
- Embrechts-Frey-McNeil: Quantitative risk management, Princeton University
Press, 2005.
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| Study Abroad |
Not entered |
| Study Pattern |
Not entered |
| Keywords | FRT |
Contacts
| Course organiser | Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk |
Course secretary | Mrs Julie Hands
Tel: (0131 6)50 4885
Email: Julie.Hands@ed.ac.uk |
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