NMAK10020U Quantitative Risk Management (QRM)

Volume 2024/2025
Education

MSc Programme in Actuarial Mathematics

MSc Programme in Mathematics-Economics

Content
  • Risk measures
  • Extreme value theory
  • Multivariate distributions and dependence
  • Copulas
  • Credit modeling and operational risk modeling
Learning Outcome

Knowledge:

By the end of the course, the student should develop an understanding of risk measures, including VaR and expected shortfall, and of stastistical methods from extreme value theory (including the Hill estimator and the POT method).

Also, the student should develop a thorough understanding of the various means for analyzing dependence, including elliptical distributions and copulas.

Moreover, the student should develop a thorough knowledge of some of the standard models used for credit risk modeling and operational risk modeling and a basic knowledge of emerging risks.

 

Skills:

The student should develop analytical and computational skills for computing VaR, expected shortfall, and for analyzing dependence and credit risk losses.

 

Competencies:

The student should be able to analyze risk in a variety financial settings and to compute VaR, expected shortfall, or other related risk measures in these contexts.

The student should also be able to apply basic methods from extreme value theory to analyze these risks.

Moreover, the student should develop proficiency in analyzing dependent risks using, in particular, elliptical distributions or copulas.

Finally, the student should develop a competence in analyzing credit risk losses.

Mathematical finance or equivalent.

Academic qualifications equivalent to a BSc degree is recommended.
4 hours of lectures and 2 hours exercises per week for 7 weeks.
  • Category
  • Hours
  • Lectures
  • 28
  • Preparation
  • 161
  • Theory exercises
  • 14
  • Exam
  • 3
  • Total
  • 206
Written
Credit
7,5 ECTS
Type of assessment
On-site written exam, 3 hours under invigilation
Exam registration requirements

To participate in the exam, a required homework set must be approved.

Aid
Only certain aids allowed

Three A4-pages of handwritten notes.

Marking scale
7-point grading scale
Censorship form
No external censorship
Re-exam

Same as the ordinary exam.

If the required homework set is not approved before the ordinary exam, the non-approved set must be (re)submitted and approved no later than 3 weeks before the beginning of the re-exam week.

Criteria for exam assesment

The student should convincingly and accurately demonstrate the knowledge, skills and competences described under Intended Learning Outcome.