Course development and history
Select the semester and course offering above to get information from the correct course syllabus and course offering.
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
To give a good knowledge of risk measures and advanced modelling and computational methods of relevance for the assessment and management of financial risks.
No information inserted
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.
Hult, Lindskog, Hammarlid and Rehn: Risk and Portfolio Analysis: Principles and Methods, Springer
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.
One written exam, 4.5 university credits.Home assignments, 3 university credits.
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.
Industrial Management, Mathematics
Anja Janssen (email@example.com)