Course syllabus

Värdering och hantering av finansiell risk
Financial Valuation and Risk Management

TEK180, 7,5 credits, A (Second Cycle)

Valid for: 2013/14
Decided by: Education Board B
Date of Decision: 2013-04-10

General Information

Elective for: F4, F4-fm, I4, I4-fir, M4, Pi4, Pi4-fm
Language of instruction: The course will be given in English

Aim

The objective of this course is to give the students an understanding and hands on knowledge of basic methods within risk management.

Learning outcomes

Knowledge and understanding
For a passing grade the student must

Competences and skills
For a passing grade the student must

· be able to implement VaR (Value-at-Risk)

· identify the interesting finance-related problems in the real-world and to incorporate adequate methods and theories to analyse these problems

Judgement and approach
For a passing grade the student must

have developed:

· learning skills that allow for further study in finance and economics,

· an ability to independently search for and evaluate information from risk management literature within finance,

· an ability to independently conduct a master thesis.

Contents

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.

Examination details

Grading scale: TH
Assessment: The students are evaluated in a written exam. Mandatory laboratory tasks are also required.

Admission

Admission requirements:

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

Reading list

Contact and other information

Course coordinator: Birger Nilsson, birger.nilsson@nek.lu.se
Course homepage: http://www.nek.lu.se
Further information: Identical to NEKN83