NMAK15024U Topics in Financial Risk Management (AAM)

Volume 2015/2016
Education

MSc programme in Mathematics-Economics
MSc programme in Actuarial Mathematics

Content
  1. 1. Interest Rate Risk
  2. 2. Volatility
  3. 3. Correlations and Copulas
  4. 4. The VaR Measure
  5. 5. Market Risk VaR
  6. 6. Credit Risk: Estimating Default Probabilities
  7. 7. Credit Risk Losses and Credit VaR
  8. 8. Credit Derivatives
  9. 9. Operational Risk
  10. 10. Model Risk and Liquidity Risk
Learning Outcome
  1. At the end of the course the student is expected to have:
  2.  
  3. Knowledge about interest rate risk, volatility risk, credit risk, operational risk, model risk, liquidity risk, and ways to model and quantify all these risks.
  4.  
  5. Skills to formalize, discuss and apply risk models and risk quantification in financial markets.
  6.  
  7. Competences in the contents of the course.
FinKont or similar
7 weeks with 4 lectures. Supervision in connections with the written assignments.
  • Category
  • Hours
  • Exam Preparation
  • 50
  • Lectures
  • 28
  • Preparation
  • 128
  • Total
  • 206
Credit
7,5 ECTS
Type of assessment
Oral examination, 20 minutes
Continuous assessment
2 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.