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Syllabus for

Academic year
MVE220 - Financial risk
 
Syllabus adopted 2013-02-21 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
Block schedule: LA

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

In programs

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

Examiner:

Professor  Holger Rootzén



  Go to Course Homepage

Eligibility:

For single subject courses within Chalmers programmes the same eligibility requirements apply, as to the programme(s) that the course is part of.

Course specific prerequisites

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

Aim

The course belongs to the field financial mathematics and its aim is to give basic knowledge in handeling 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 certain quantitative methods to analyse such 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 short historical introduction to the subject as well as an introduction to mathematical methods for analysis of large economic risks. Special attention is paid to extreme value theory, the concept of ”Value at Risk”, and credit risk.

Organisation

Lectures and students' presentations and discussion in class.

Literature

To be found on the course page.

Examination

The examination of the course is based on presentations and discussions, and on two technical projects.


Published: Mon 28 Nov 2016.