| TPPE32 | Financial Risk Management, 6 ECTS credits. /Finansiell riskhantering/ |
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Prel. scheduled
hours: 26 |
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Area of Education: Technology Subject area: Industrial Engineering and Management, Production Economics |
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| Advancement level
(G1, G2, A): A
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| Aim: The main aim of the course is to present models and techniques for measuring, controlling, and changing financial risk exposure. Primarily, financial market risks and credit risks will be treated. The main risk measure used is VAlue at Risk (VaR). |
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| Prerequisites: (valid for students admitted to programmes within which the course is offered) Financial Markets and Instruments Note: Admission requirements for non-programme students usually also include admission requirements for the programme and threshhold requirements for progression within the programme, or corresponding. |
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| Supplementary courses: Portfolio Management, Financial Optimisation |
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| Organisation: The teaching is organized in lectures and seminars. The seminars will be used for presentations and discussions of group assignments that are carried out during the course. |
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| Course contents: Financial risks. Traditional risk measures. Forecasting volatility and correlation. Value-at-Risk. Backtesting. Credit risk and credit derivatives. Operational- and liquidity risk. The Basel directives. Organisational aspects on risk management. |
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| Course literature: Hull J.C. (2007), Risk Management and Financial Institutions |
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| Examination: | |||
| An oral examination Seminar assignment |
5 ECTS 1 ECTS |
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Course language is Swedish. Department offering the course: IEI. Director of Studies: Martin Kylinger Examiner: Peter Hultman Link to the course homepage at the department Course Syllabus in Swedish |
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