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SF2980 Risk Management 7.5 credits

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Information per course offering

Termin

Information for Autumn 2024 Start 28 Oct 2024 programme students

Course location

KTH Campus

Duration
28 Oct 2024 - 13 Jan 2025
Periods
P2 (7.5 hp)
Pace of study

50%

Application code

51483

Form of study

Normal Daytime

Language of instruction

English

Course memo
Course memo is not published
Number of places

Places are not limited

Target group
No information inserted
Planned modular schedule
[object Object]

Contact

Examiner
No information inserted
Course coordinator
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Teachers
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Course syllabus as PDF

Please note: all information from the Course syllabus is available on this page in an accessible format.

Course syllabus SF2980 (Spring 2022–)
Headings with content from the Course syllabus SF2980 (Spring 2022–) are denoted with an asterisk ( )

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.

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

Specific prerequisites

English B / English 6

Completed advanced course in probability theory (SF2940 or equivalent).

Recommended prerequisites

Completed course in portfolio theory and risk management (SF2942 or similar).

Equipment

No information inserted

Literature

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.

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.

Opportunity to complete the requirements via supplementary examination

No information inserted

Opportunity to raise an approved grade via renewed examination

No information inserted

Examiner

Profile picture Henrik Hult

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 room in Canvas

Registered students find further information about the implementation of the course in the course room in Canvas. A link to the course room can be found under the tab Studies in the Personal menu at the start of the course.

Offered by

SCI/Mathematics

Main field of study

Industrial Management, Mathematics

Education cycle

Second cycle

Add-on studies

No information inserted