Course syllabus adopted 2023-02-14 by Head of Programme (or corresponding).
Overview
- Swedish nameFinansiell risk
- CodeMVE220
- Credits7.5 Credits
- OwnerMPENM
- Education cycleSecond-cycle
- Main field of studyMathematics
- DepartmentMATHEMATICAL SCIENCES
- GradingTH - Pass with distinction (5), Pass with credit (4), Pass (3), Fail
Course round 1
- Teaching language English
- Application code 20129
- Open for exchange studentsYes
Credit distribution
Module | Sp1 | Sp2 | Sp3 | Sp4 | Summer | Not Sp | Examination dates |
|---|---|---|---|---|---|---|---|
| 0108 Examination 7.5 c Grading: TH | 0 c | 0 c | 7.5 c | 0 c | 0 c | 0 c |
In programmes
- MPCAS - COMPLEX ADAPTIVE SYSTEMS, MSC PROGR, Year 1 (elective)
- MPENM - ENGINEERING MATHEMATICS AND COMPUTATIONAL SCIENCE, MSC PROGR, Year 1 (elective)
- TKIEK - INDUSTRIAL ENGINEERING AND MANAGEMENT - Financial mathematics, Year 3 (compulsory)
Examiner
- Peter Helgesson
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.The course examiner may assess individual students in other ways than what is stated above if there are special reasons for doing so, for example if a student has a decision from Chalmers on educational support due to disability.