NMAK15024U Topics in Financial Risk Management (AAM)
Volume 2015/2016
Education
MSc programme in Mathematics-Economics
MSc programme in Actuarial Mathematics
Content
- 1. Interest Rate Risk
- 2. Volatility
- 3. Correlations and Copulas
- 4. The VaR Measure
- 5. Market Risk VaR
- 6. Credit Risk: Estimating Default Probabilities
- 7. Credit Risk Losses and Credit VaR
- 8. Credit Derivatives
- 9. Operational Risk
- 10. Model Risk and Liquidity Risk
Learning Outcome
- At the end of the course the student is expected to have:
- Knowledge about interest rate risk, volatility risk, credit risk, operational risk, model risk, liquidity risk, and ways to model and quantify all these risks.
- Skills to formalize, discuss and apply risk models and risk quantification in financial markets.
- Competences in the contents of the course.
Academic qualifications
FinKont or
similar
Teaching and learning methods
7 weeks with 4 lectures.
Supervision in connections with the written
assignments.
Workload
- Category
- Hours
- Exam Preparation
- 50
- Lectures
- 28
- Preparation
- 128
- Total
- 206
Sign up
Self Service at KUnet
As
an exchange, guest and credit student - click here!
Continuing Education - click here!
Exam
- Credit
- 7,5 ECTS
- Type of assessment
- Oral examination, 20 minutesContinuous assessment2 written assignments. At the oral examination questions concerning the written assignments will be discussed together with questions in the rest of the course material. The written assignments count 50% and the oral examination counts 50%.
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
One internal examiner for the written assignments, several internal examiners for the oral exam.
- Re-exam
As the ordinary exam. If the written assignments did not receive a passing evaluation (more than 50% of the maximal number of points) it is possible to resubmit them no later than two weeks before the beginning of the re-exam week.
Criteria for exam assesment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.
Course information
- Language
- English
- Course code
- NMAK15024U
- Credit
- 7,5 ECTS
- Level
- Full Degree Master
- Duration
- 1 block
- Placement
- Block 2
- Schedule
- B
- Course capacity
- No limit
- Continuing and further education
- Study board
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Course responsibles
- Mogens Steffensen (6-73756d6b74794673677a6e34717b346a71)
- Jiawen Gu (6-506f677d6b744673677a6e34717b346a71)
Saved on the
27-04-2015