Postgraduate Course: Financial Risk Management (MATH11046)
Course Outline
| 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 | Typically a bank decomposes its business risk into credit, market, operational, interest rate risk and strategic risk. Each major risk is then subdivided into more detailed categorizations of risk. This course will present a parameteric model-based approach to these risks
and show how these can be used to diversify risk. The course is practically oriented with many illustrations and computing labs sessions where the students develop examples of financel risk models.
Introduction: Analysis of risks in the banking sector, Financial engineering, the parameteric model-based approach, correlations and diversification of risk.
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, Risk Metrics, Markowitz mean-variance, the Sharpe ratio (i.e. CAPM model), conditional VAR), 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.
Model risk: Danger of applying models in inapropriate situations.
Stress testing: Extreme event theory and simulating rare and
catastrophic events.
Conclusions: Towards integrated risk management. |
| Course description |
Not entered
|
Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
|
Co-requisites | |
| Prohibited Combinations | |
Other requirements | None |
Course Delivery Information
|
| Academic year 2015/16, Not available to visiting students (SS1)
|
Quota: None |
| Course Start |
Block 4 (Sem 2) |
Timetable |
Timetable |
| Learning and Teaching activities (Further Info) |
Total Hours:
100
(
Lecture Hours 20,
Seminar/Tutorial Hours 5,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
73 )
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| Assessment (Further Info) |
Written Exam
0 %,
Coursework
100 %,
Practical Exam
0 %
|
| Additional Information (Assessment) |
See 'Breakdown of Assessment Methods' and 'Additional Notes' above. |
| Feedback |
Not entered |
| No Exam Information |
Learning Outcomes
| Ability to assess risk in financial decision problems and construct appropriate financial risk models.
|
Contacts
| Course organiser | Dr Julian Hall
Tel: (0131 6)50 5075
Email: |
Course secretary | Mrs Frances Reid
Tel: (0131 6)50 4883
Email: |
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