Postgraduate Course: Financial Risk Theory (MATH11132)
|School||School of Mathematics
||College||College of Science and Engineering
||Availability||Not available to visiting students
|Credit level (Normal year taken)||SCQF Level 11 (Postgraduate)
|Home subject area||Mathematics
||Other subject area||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.
Entry Requirements (not applicable to Visiting Students)
||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.
|MSc Financial Modelling and Optimization, MSc Mathematics and MMaths students only.|
||- 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).
||- Follmer-Schied: Stochastic finance, Walter de Gruyter, 2004.
- Embrechts-Frey-McNeil: Quantitative risk management, Princeton University
|Course organiser||Dr Sotirios Sabanis
Tel: (0131 6)50 5084
|Course secretary||Mrs Julie Hands
Tel: (0131 6)50 4885