Postgraduate Course: Financial Risk Theory (MATH11132)
|School||School of Mathematics
||College||College of Science and Engineering
|Credit level (Normal year taken)||SCQF Level 11 (Postgraduate)
||Availability||Not available to visiting students
|Summary||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.
- 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)
||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
|Academic year 2015/16, Not available to visiting students (SS1)
|Learning and Teaching activities (Further Info)
Lecture Hours 18,
Seminar/Tutorial Hours 4,
Summative Assessment Hours 3,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
|Assessment (Further Info)
|Additional Information (Assessment)
||Hours & Minutes
|Main Exam Diet S2 (April/May)||Financial Risk Theory (MATH11132)||2:00|
| - 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.
|- Follmer-Schied: Stochastic finance, Walter de Gruyter, 2004.|
- Embrechts-Frey-McNeil: Quantitative risk management, Princeton University
|Graduate Attributes and Skills
||MSc Financial Modelling and Optimization, MSc Mathematics and MMaths students only.
|Course organiser||Dr Sotirios Sabanis
Tel: (0131 6)50 5084
|Course secretary||Mr Thomas Robinson
Tel: (0131 6)50 4885
© Copyright 2015 The University of Edinburgh - 18 January 2016 4:25 am