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Syllabus for

Academic year
MVE220 - Financial risk
Finansiell risk
 
Syllabus adopted 2019-02-26 by Head of Programme (or corresponding)
Owner: MPENM
7,5 Credits
Grading: TH - Pass with distinction (5), Pass with credit (4), Pass (3), Fail
Education cycle: Second-cycle
Major subject: Mathematics
Department: 11 - MATHEMATICAL SCIENCES


Teaching language: English
Application code: 20111
Open for exchange students: Yes

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

In programs

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

Examiner:

Holger Rootzén


Eligibility

General entry requirements for Master's level (second cycle)
Applicants enrolled in a programme at Chalmers where the course is included in the study programme are exempted from fulfilling the requirements above.

Specific entry requirements

English 6 (or by other approved means with the equivalent proficiency level)
Applicants enrolled in a programme at Chalmers where the course is included in the study programme are exempted from fulfilling the requirements above.

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)

  • Explain and evaluate main properties of different risk measures, and their relationship
  • Apply quantitative methods from extreme value statistics to analyze large risks, also with the help of a computer
  • Apply quantitative methods from credit risk modelling to analyze large risks, also with the help of a computer
  • Discuss the implications of assumptions for models in risk management and real world examples for economic risks on the basis of mathematical methods

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 including compulsory elements

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


Published: Mon 28 Nov 2016.