| TPPE32 |
Financial Risk Management, 6 ECTS credits.
/Finansiell riskhantering/
For:
I
Ii
MMAT
Y
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Prel. scheduled
hours: 30
Rec. self-study hours: 130
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Area of Education: Technology
Main field of studies: Industrial Engineering and Management
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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.
By completion of the course the student should be able to
- Describe different views on risk and explain how risk relates to expected return.
- Describe and distinguish different financial- and non-financial risk types.
- Describe, implement, analyze and compare methods used to measure risk, evaluate different risk measures and analyze and forecast financial time series.
- Derive central results for and compute different measures of risk.
- Explain how financial regulations affect financial markets.
- Present and critically review studies on financial risk management.
- Systematically reflect on and discuss about how risk affects financial and non-financial institutions.
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Prerequisites: (valid for students admitted to programmes within which the course is offered)
Introductory courses in statistics, probability theory, calculus, linear algebra, optimization, Corporate Finance and/or Financial Markets and Instruments (or similar course).
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 Valuation Methodology, , Financial Optimization
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Organisation:
The teaching is organized in lectures and seminars. The seminars will be used for presentations and discussions of the group assignments in the course.
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Course contents:
- Financial risks (Market-, credit-, liquidity-, and operational risk)
- Business risks (Strategic-, macroeconomic, and political risks)
- Time series analysis (Descriptive statistics, empirical properties)
- Volatility-, and correlation forecasts (EWMA, GARCH, Maximum-likelihood estimation, Copula)
- Risk measures (Value-at-Risk, Expected shortfall, Extreme value theory, Back-testing, Stress-testing)
- Financial regulation (Basel I, II och III, Solvency II)
- Risk mapping (Risk factors)
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Course literature:
Hull J.C., Risk Management and Financial Institutions
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Examination: |
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Oral examination
Seminar assignment
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4 ECTS
2 ECTS
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Course language is Swedish.
Department offering the course: IEI.
Director of Studies: Fredrik Persson
Examiner: Jonas Ekblom
Link to the course homepage at the department
Course Syllabus in Swedish
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