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Graduate courses

Departments' graduate courses for PhD-students.

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Syllabus for

Academic year
MVE220 - Financial risk  
 
Syllabus adopted 2015-02-11 by Head of Programme (or corresponding)
Owner: MPENM
7,5 Credits
Grading: TH - Five, Four, Three, Not passed
Education cycle: Second-cycle
Major subject: Mathematics
Department: 11 - MATHEMATICAL SCIENCES


Teaching language: English
Open for exchange students

Course module   Credit distribution   Examination dates
Sp1 Sp2 Sp3 Sp4 Summer course No Sp
0108 Examination 7,5 c Grading: TH   7,5 c    

In programs

TKIEK INDUSTRIAL ENGINEERING AND MANAGEMENT - Financial mathematics, Year 2 (compulsory)
MPCAS COMPLEX ADAPTIVE SYSTEMS, MSC PROGR, Year 2 (elective)
MPENM ENGINEERING MATHEMATICS AND COMPUTATIONAL SCIENCE, MSC PROGR, Year 1 (elective)

Examiner:

Universitetslektor  Sören Christensen



  Go to Course Homepage

Eligibility:


In order to be eligible for a second cycle course the applicant needs to fulfil the general and specific entry requirements of the programme that owns the course. (If the second cycle course is owned by a first cycle programme, second cycle entry requirements apply.)
Exemption from the eligibility requirement: Applicants enrolled in a programme at Chalmers where the course is included in the study programme are exempted from fulfilling these requirements.

Course specific prerequisites

Basic courses in mathematical statistics, linear algebra and multivariable calculus.

Aim

The course belongs to the field financial mathematics. The aim is that the participants will acquire basic knowledge in  quantitative handling of financial risks.

Learning outcomes (after completion of the course the student should be able to)

After finishing the course, the students should have a broad knowledge on large financial risks and be able to apply quantitative methods from extreme value statistics and credit risk modelling to analyze large risks.

Content

Economic risks lead to catastrophic losses on a regular basis. Among the most spectacular examples are the tulip speculation back in the 17th century and the recent $18 billion Madoff fraud. The course gives a historical introduction to the subject and an introduction to mathematical methods for analysis of large economic risks, in particular extreme value statistics and credit risk modelling.

Organisation

Lectures,students' presentations, discussion in class, and  question hours.

Literature

To be found on the course page.

Examination

The examination of the course is based on oral or written presentations, contributions to class  discussions, and  written handins.


Page manager Published: Thu 04 Feb 2021.