Postgraduate Course: Financial Risk Theory (MATH11132)
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 | This course presents approaches to model various financial risks. The
purpose is to learn the basic underlying mathematical concepts, to understand the economic rationale behind them through simple examples and to get an idea about how these methods can be implemented in practice.
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| Course description |
- Mean and variance. A quick look at Markowitz portfolio theory.
- Utility functions, certainty equivalent.
- Value-at-risk, calculation methods (historical, Monte Carlo). Drawbacks.
- Convex and coherent risk measures, examples.
- Measures of dependence: from covariance to copulas.
- Some statistical techniques (dimension reduction, factor analysis).
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Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
|
Co-requisites | |
| Prohibited Combinations | |
Other requirements | For admission to this course, a good understanding of probability at undergraduate level is required. If in doubt, please contact the Course Organiser. |
Course Delivery Information
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| Academic year 2015/16, Not available to visiting students (SS1)
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Quota: None |
| Course Start |
Semester 1 |
Timetable |
Timetable |
| Learning and Teaching activities (Further Info) |
Total Hours:
100
(
Lecture Hours 18,
Seminar/Tutorial Hours 4,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
76 )
|
| Assessment (Further Info) |
Written Exam
100 %,
Coursework
0 %,
Practical Exam
0 %
|
| Additional Information (Assessment) |
Examination: 100% |
| Feedback |
Not entered |
| Exam Information |
| Exam Diet |
Paper Name |
Hours & Minutes |
|
| Main Exam Diet S2 (April/May) | Financial Risk Theory (MATH11132) | 2:00 | |
Learning Outcomes
- Knowledge of, and a critical understanding of, Markowitz portfolio theory.
- Knowledge of, and a critical understanding of, the utility functions theory.
- Knowledge of, and a critical understanding of, the Value-at-risk approach.
- Understanding of, and critical assessment of, different convex and coherent risk measures.
- Understanding of, and critical assessment of, different measures of dependence.
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Reading List
- Follmer-Schied: Stochastic finance, Walter de Gruyter, 2004.
- Embrechts-Frey-McNeil: Quantitative risk management, Princeton University
Press, 2005.
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Additional Information
| Graduate Attributes and Skills |
Not entered |
| Special Arrangements |
MSc Financial Modelling and Optimization, MSc Mathematics and MMaths students only. |
| Keywords | FRT |
Contacts
| Course organiser | Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: |
Course secretary | Mrs Kathryn Mcphail
Tel: (0131 6)51 4351
Email: |
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