Valid for: 2016/17
Decided by: Education Board B
Date of Decision: 2016-03-29
Elective for: F4, F4-fm, I4, I4-fir, M4, Pi4-fm
Language of instruction: The course will be given in English
The objective of this course is to give the students an understanding and hands on knowledge of basic methods within risk management.
Knowledge and understanding
For a passing grade the student must
Competences and skills
For a passing grade the student must
Judgement and approach
For a passing grade the student must
have developed:
The course deals with three main topics: portfolio theory,
measurement and management of credit risk, and measurement and
management of financial risk. The objective of this course is to
give the students an understanding and hands-on knowledge of basic
methods within risk management. The course begins with
MV-optimization with different constraints and stochastic
dominance. Then follows measurement and control of credit risk,
which are then applied to the Basel II rules. Finally, the course
covers VaR (Value-at-Risk) and CVaR/ETL (Conditional
Value-at-Risk/Expected Tail Loss), which are computed for different
portfolios with and without derivatives using analytical and
simulation based techniques.
This is followed by a general discussion of credit risk and models
used to measure credit risk in practice. A significant part of the
course will deal with managing credit risk using various derivative
instruments.
Grading scale: TH
Assessment: The students are evaluated in a written exam. Mandatory laboratory tasks are also required.
The number of participants is limited to: 60
Selection: Credits awarded or credited within the study programme.
The course overlaps following course/s: NEKM41, NEKN83
Course coordinator: Docent Birger Nilsson, birger.nilsson@nek.lu.se
Course homepage: http://www.nek.lu.se
Further information: Identical to NEKN83