Syllabus for |
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MVE220 - Financial risk
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| Syllabus adopted 2015-02-11 by Head of Programme (or corresponding) |
| Owner: MPENM |
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7,5 Credits |
| Grading: TH - Five, Four, Three, Not passed |
| Education cycle: Second-cycle |
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Major subject: Mathematics
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Department: 11 - MATHEMATICAL SCIENCES
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Teaching language: English
Open for exchange students
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Credit distribution |
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Examination dates |
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Sp1 |
Sp2 |
Sp3 |
Sp4 |
Summer course |
No Sp |
| 0108 |
Examination |
7,5 c |
Grading: TH |
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7,5 c
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In programs
MPENM ENGINEERING MATHEMATICS AND COMPUTATIONAL SCIENCE, MSC PROGR, Year 1 (elective)
TKIEK INDUSTRIAL ENGINEERING AND MANAGEMENT - Financial mathematics, Year 2 (compulsory)
MPCAS COMPLEX ADAPTIVE SYSTEMS, MSC PROGR, Year 2 (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.