SF2980 Risk Management 7.5 credits

Riskvärdering och riskhantering

  • Education cycle

    Second cycle
  • Main field of study

    Industrial Management
    Mathematics
  • Grading scale

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

Course offerings

Autumn 19 SAP for Study Abroad Programme (SAP)

  • Periods

    Autumn 19 P2 (7.5 credits)

  • Application code

    10043

  • Start date

    28/10/2019

  • End date

    14/01/2020

  • Language of instruction

    English

  • Campus

    KTH Campus

  • Tutoring time

    Daytime

  • Form of study

    Normal

  • Number of places

    No limitation

  • Target group

    Only for SAP-students. Students from UCAS.

  • Application

    Apply for this course at antagning.se through this application link.
    Please note that you need to log in at antagning.se to finalize your application.

Autumn 18 SAP for Study Abroad Programme (SAP)

  • Periods

    Autumn 18 P2 (7.5 credits)

  • Application code

    10025

  • Start date

    29/10/2018

  • End date

    14/01/2019

  • Language of instruction

    English

  • Campus

    KTH Campus

  • Tutoring time

    Daytime

  • Form of study

    Normal

  • Number of places

    No limitation

  • Schedule

    Schedule (new window)

  • Course responsible

    Anja Janssen <anjaj@kth.se>

  • Teacher

    Anja Janssen <anjaj@kth.se>

  • Target group

    Only for SAP-students. Students from UCAS.

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 main content

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

Eligibility

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.

Literature

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

Examination

  • TEN1 - Examination, 4.5, grading scale: A, B, C, D, E, FX, F
  • ÖVN1 - Assignments, 3.0, grading scale: P, F

Requirements for final grade

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

Offered by

SCI/Mathematics

Contact

Anja Janssen (anjaj@kth.se)

Examiner

Anja Janssen <anjaj@kth.se>

Version

Course syllabus valid from: Autumn 2012.
Examination information valid from: Autumn 2007.