# DEGREE REGULATIONS & PROGRAMMES OF STUDY 2015/2016

 University Homepage DRPS Homepage DRPS Search DRPS Contact
DRPS : Course Catalogue : School of Mathematics : Mathematics

# 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 SCQF Credits 10 ECTS Credits 5 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. 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).
 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.
 Academic year 2015/16, Not available to visiting students (SS1) Quota:  None Course Start Semester 2 Timetable Timetable Learning and Teaching activities (Further Info) Total Hours: 100 ( Lecture Hours 18, Seminar/Tutorial Hours 4, Summative Assessment Hours 3, Programme Level Learning and Teaching Hours 2, Directed Learning and Independent Learning Hours 73 ) Assessment (Further Info) Written Exam 100 %, Coursework 0 %, Practical Exam 0 % Additional Information (Assessment) Examination: 100% Feedback Not entered Exam Information Exam Diet Paper Name 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 Press, 2005.
 Graduate Attributes and Skills Not entered Special Arrangements MSc Financial Modelling and Optimization, MSc Mathematics and MMaths students only. Keywords FRT
 Course organiser Dr Sotirios Sabanis Tel: (0131 6)50 5084 Email: S.Sabanis@ed.ac.uk Course secretary Mr Thomas Robinson Tel: (0131 6)50 4885 Email: Thomas.Robinson@ed.ac.uk
 Navigation Help & Information Home Introduction Glossary Search DPTs and Courses Regulations Regulations Degree Programmes Introduction Browse DPTs Courses Introduction Humanities and Social Science Science and Engineering Medicine and Veterinary Medicine Other Information Combined Course Timetable Prospectuses Important Information
© Copyright 2015 The University of Edinburgh - 18 January 2016 4:25 am