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DRPS : Course Catalogue : School of Mathematics : Mathematics

Postgraduate Course: Financial Risk Theory (MATH11132)

Course Outline
SchoolSchool of Mathematics CollegeCollege of Science and Engineering
Credit level (Normal year taken)SCQF Level 11 (Postgraduate) AvailabilityNot available to visiting students
SCQF Credits10 ECTS Credits5
SummaryThis 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.
Course description - 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).
Entry Requirements (not applicable to Visiting Students)
Pre-requisites 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.
Course Delivery Information
Not being delivered
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.
Reading List
- Follmer-Schied: Stochastic finance, Walter de Gruyter, 2004.
- Embrechts-Frey-McNeil: Quantitative risk management, Princeton University
Press, 2005.
Additional Information
Graduate Attributes and Skills Not entered
Special Arrangements MSc Financial Modelling and Optimization, MSc Mathematics and MMaths students only.
KeywordsFRT
Contacts
Course organiserDr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk
Course secretaryMrs Julie Hands
Tel: (0131 6)50 4885
Email: Julie.Hands@ed.ac.uk
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