SF2980 Risk Management 7.5 credits

Riskvärdering och riskhantering

Show course information based on the chosen semester and course offering:

Offering and execution

No offering selected

Select the semester and course offering above to get information from the correct course syllabus and course offering.

Course information

Content and learning outcomes

Course contents *

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, models for large portfolios, diversification and hedging

Intended learning outcomes *

To give a good knowledge of risk measures and advanced modelling and computational methods of relevance for the assessment and management of financial risks.

Course Disposition

No information inserted

Literature and preparations

Specific prerequisites *

Passed courses in analysis in one and several variables, linear algebra, differential equations, mathematical statistics, numerical analysis

Passed SF2940 Probability Theory and SF2942  Portfolio Theory and Risk Management.

Recommended prerequisites

No information inserted

Equipment

No information inserted

Literature

Hult, Lindskog, Hammarlid and Rehn: Risk and Portfolio Analysis: Principles and Methods, Springer

Examination and completion

Grading scale *

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

Examination *

  • 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.

Other requirements for final grade *

One written exam, 4.5 university credits.
Home assignments, 3 university credits.

Opportunity to complete the requirements via supplementary examination

No information inserted

Opportunity to raise an approved grade via renewed examination

No information inserted

Examiner

Anja Janssen

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 SF2980

Offered by

SCI/Mathematics

Main field of study *

Industrial Management, Mathematics

Education cycle *

Second cycle

Add-on studies

No information inserted

Contact

Anja Janssen (anjaj@kth.se)

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.