Kursussøgning, efter- og videreuddannelse – Københavns Universitet

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Kursussøgning, efter- og videreuddannelse

Quantitative Risk Management (QRM)

Practical information
Study year 2016/2017
Time
Block 2
Programme level Full Degree Master
ECTS 7,5 ECTS
Course responsible
  • Jeffrey F. Collamore (9-6b7774746975777a6d4875697c7036737d366c73)
Phone +45 35 32 07 82, office: 04.3.08
  • Department of Mathematical Sciences
Course number: NMAK10020U

Course content

Risk measures; extreme value theory; multivariate distributions and dependence; copulas; credit modeling and operational risk modeling.

Learning outcome

Knowledge:  By the end of the course, the student should develop an understanding of risk measures, including VaR and expected shortfall, and of stastistical methods from extreme value theory (including the Hill estimator and the POT method).  Also, the student should develop a thorough understanding of the various means for analyzing dependence, including elliptical distributions and copulas.  Moreover, the student should develop a thorough knowledge of some of the standard models used for credit risk modeling and operational risk modeling.

Skills:  The student should develop analytical and computational skills for computing VaR, expected shortfall, and for analyzing dependence and credit risk losses.

Competencies:  The student should be able to analyze risk in a variety financial settings and to compute VaR, expected shortfall, or other related risk measures in these contexts. The student should also be able to apply basic methods from extreme value theory to analyze these risks.  Moreover, the student should develop proficiency in analyzing dependent risks using, in particular, elliptical distributions or copulas.  Finally, the student should develop a competence in analyzing credit risk losses.

Recommended prerequisites

VidSand2 concurrently, or equivalent.

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Education

MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economy

Studyboard

Study Board of Mathematics and Computer Science

Course type

Single subject courses (day)

Duration

1 block

Schedulegroup

C
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Teaching and learning methods

5 hours of lectures per week for 7 weeks.

Capacity

60

Language

English

Workload

Category Hours
Exam 1
Lectures 30
Practical exercises 10
Theory exercises 50
Preparation 115
English 206

Exam

Type of assessment

Oral examination, 30 min.
No preparation time.

Aid

Without aids

Marking scale

7-point grading scale

Criteria for exam assessment

The student must, in a satisfactory way, demonstrate that he/she has mastered the learning outcome.

Censorship form

No external censorship
Several internal examiners.

Re-exam

Same as the ordinary exam. If the required homework sets are not approved before the ordinary exam, the non-approved set(s) must be handed in no later than two weeks before the beginning of the re-exam week. They must be approved before the re-exam.

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