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Before choosing course

The course is based on the subject field Enterprise Risk Management (ERM). The scope is enterprise risk management in banking and insurance. Central to the course is how risks as market risk, credit risk, operational risk and liquidity risk can be estimated and managed, both on the basis of business objectives and current legislation (Basel rules for banks and Solvency rules for insurance companies). The use of quantitative methods is the focus.

The presence of teachers from the financial industry is large so the course offers an insight into current practice and ongoing developments in the financial sector. The course is recommended in the final phase of the financial mathematics education programs available at KTH, ie the programs within the civil engineering programs in Industrial Economics and Engineering Physics oriented to Financial Mathematics. The course requires good knowledge of mathematics and mathematical finance. (See course entry requirements)

Course offering missing for current semester as well as for previous and coming semesters
* Retrieved from Course syllabus ME294U (Spring 2012–)

Content and learning outcomes

Course contents

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Intended learning outcomes

The goal of this course is to give practical knowledge about risk management in banks and insurance companies. Risk management is seen as an interaction between the application of mathematical models and soft factors such as risk culture, administrative processes, controls, monitoring and more. This in a world strictly controlled by regulations such as Basel III and Solvency II, the board and shareholders' demands and more. After completing the course you should be able to:
1. Understand and describe what enterprise risk management mean in general and in individual risk areas of market risk, credit risk, liquidity risk and operational risk.
2. Understanding the reasons for and objectives of the regulatory Basel II & "III" and Solvency II and the impact of these regulations.
3. Apply the theoretical concepts in case studies.

Course Disposition

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Literature and preparations

Specific prerequisites

SF2974 Portfolio theory and Risk Management and SF2980 Risk Managment or equivalent.

Recommended prerequisites

SF2974 Portfolio Theory and Risk Management and SF2980 Risk Managment or equivalent.

Equipment

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Literature

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Examination and completion

If the course is discontinued, students may request to be examined during the following two academic years.

Grading scale

A, B, C, D, E, FX, F

Examination

  • SEM1 - Seminars, 3,5 hp, betygsskala: P, F
  • TEN1 - Examination, 4,0 hp, betygsskala: A, B, C, D, E, FX, F

Based on recommendation from KTH’s coordinator for disabilities, the examiner will decide how to adapt an examination for students with documented disability.

The examiner may apply another examination format when re-examining individual students.

Opportunity to complete the requirements via supplementary examination

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Opportunity to raise an approved grade via renewed examination

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Examiner

Profile picture Ann-Charlotte Kjellberg

Ethical approach

  • All members of a group are responsible for the group's work.
  • In any assessment, every student shall honestly disclose any help received and sources used.
  • In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.

Further information

Course web

Further information about the course can be found on the Course web at the link below. Information on the Course web will later be moved to this site.

Course web ME294U

Offered by

ITM/Industrial Economics and Management

Main field of study

Industrial Management

Education cycle

Second cycle

Add-on studies

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Contact

Ann-Charlotte Kjellberg (ann-charlotte.kjellberg@indek.kth.se