? Credit Points : 5  ? SCQF Level : 11  ? Acronym : MAT-P-FRM

Introduction: Analysis of risks in the banking sector, Financial engineering, Basel II: capital adequacy based on mathematical models, Interest risk and ALM (Asset and Liability Management). Market Risk: Value at Risk models (Historical simulation, Monte Carlo simulation, RiskMetrics), Portfolio hedging (Option pricing models, Trading systems, Delta, Gamma and other types of hedging). Credit risk: Rating/Pricing models, The notions of expected and unexpected losses, Credit risk modelling. Operational risk: The nature of qualitative risks, The method of loss distribution, The scorecard approach. Conclusions: Towards integrated risk management, Presentation of the assignment.

? Pre-requisites : PGs only

Home subject area

Operational Research, (School of Mathematics, Schedule P)

? Normal year taken : Postgraduate

? Delivery Period : Block 2 only

? Contact Teaching Time : 10 hour(s) per week for 1 weeks

Ability to assess risk in financial decision problems.

Written report on one of the topics presented during the class.

The Course Secretary should be the first point of contact for all enquiries.

Course Secretary

Mrs Frances Reid
Tel : (0131 6)50 4883
Email : f.c.reid@ed.ac.uk

Course Organiser

Dr Jacek Gondzio
Tel : (0131 6)50 8574
Email : J.Gondzio@ed.ac.uk

Course Website : http://student.maths.ed.ac.uk

School Website : http://www.maths.ed.ac.uk/

College Website : http://www.scieng.ed.ac.uk/