Syllabus academic year 2007/2008

Higher education credits: 7,5. Grading scale: TH. Level: A (Second level). Language of instruction: The course will be given in English. TEK180 overlap following cours/es: NEK725 och NEKM41. Compulsory for: I4fi. Optional for: F4, F4sfm, I4, Pi4fm, INEK4. Course coordinator: Professor Björn Hansson,, Nationalekonomiska inst. Assessment: The students are evaluated in a written exam. Mandatory laboratory tasks are also required. Further information: Corresponds to NEK725. Home page:

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

Skills and abilities
For a passing grade the student must

Judgement and approach
For a passing grade the student must

· develop an ability to pursue further studies in the field and to seek and evaluate information with a high degree of independence

The course deals with three main topics: portfolio theory, measurement and management of credit risk, and measurement and management of financial risk.

• MV-optimization with different constraints.

• Stochastic dominance: 1st , 2nd and 3rd order.

• Credit risk: measurement and control.

• Basel II: rules and implications.

• VaR (Value-at-Risk) and CVaR/ETL (Conditional Value-at-Risk/Expected Tail Loss).

• Analytical and simulation based techniques for computing VaR and ETL for different portfolios with and without derivatives.

Sharpe, A: Bailey: Investments. Prentice Hall 1999.
Sharpe: Macro-Investment Analysis. Lecture notes that cover different books and articles.