SF2980 Risk Management 7.5 credits
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Content and learning outcomes
- Modeling and analysis of financial and insurance risks.
- Risk measures: Traditional risk measures, Value at Risk, Expected shortfall, Spectral risk measures.
- Empirical distributions, quantiles and risk measures. Analysis of uncertainty with confidence intervals and Bootstrap.
- Parametric models: model selection, parameter estimation, validation, simulation.
- Extreme value statistics.
- Multivariate models: measures of dependence, elliptical distributions, copulas, simulation.
Intended learning outcomes
After completion of the course the student shall be able to:
- formulate and apply risk measures and advanced methods for statistical modelling and analysis which are of relevance for the assessment and management of financial risks,
- design and implement methods to analyze data sets which are relevant from a risk management perspective,
- identify and discuss methods for regulatory systems of sustainable financial markets and discuss how aspects of sustainability impact the risk profile of a company.
Literature and preparations
English B / English 6
Completed advanced course in probability theory (SF2940 or equivalent).
Completed course in portfolio theory and risk management (SF2942 or similar).
Hult, Lindskog, Hammarlid and Rehn: Risk and Portfolio Analysis: Principles and Methods, Springer
Examination and completion
If the course is discontinued, students may request to be examined during the following two academic years.
- TEN1 - Examination, 4.5 credits, grading scale: A, B, C, D, E, FX, F
- ÖVN1 - Assignments, 3.0 credits, grading scale: P, 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
Opportunity to raise an approved grade via renewed examination
- 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 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 SF2980