- Modeling and analysis of financial and insurance risks.
- Risk measures: Traditional risk measures, Value at Risk, Expected shortfall, Spectral risk measures.
- Empirical distributions, quantiles and risk measures. Analysis of uncertainty with confidence intervals and Bootstrap.
- Parametric models: model selection, parameter estimation, validation, simulation.
- Extreme value statistics.
- Multivariate models: measures of dependence, elliptical distributions, copulas, simulation.
SF2980 Risk Management 7.5 credits
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About course offering
For course offering
Autumn 2024 Start 28 Oct 2024 programme students
Target group
No information insertedPart of programme
Master's Programme, Applied and Computational Mathematics, åk 1, Optional
Master's Programme, Applied and Computational Mathematics, åk 2, Optional
Master's Programme, Applied and Computational Mathematics, åk 2, FMIA, Conditionally Elective
Master's Programme, Computer Simulations for Science and Engineering, åk 2, Conditionally Elective
Master's Programme, Industrial Engineering and Management, åk 1, FMIB, Mandatory
Periods
P2 (7.5 hp)Duration
Pace of study
50%
Form of study
Normal Daytime
Language of instruction
English
Course location
KTH Campus
Number of places
Places are not limited
Planned modular schedule
Course memo
Course memo is not publishedSchedule
Link to scheduleApplication
For course offering
Autumn 2024 Start 28 Oct 2024 programme students
Application code
51483
Contact
For course offering
Autumn 2024 Start 28 Oct 2024 programme students
Contact
Anja Janssen (anjaj@kth.se)
Examiner
No information insertedCourse coordinator
No information insertedTeachers
No information insertedContent and learning outcomes
Course contents
Intended learning outcomes
After completion of the course the student shall be able to:
- formulate and apply risk measures and advanced methods for statistical modelling and analysis which are of relevance for the assessment and management of financial risks,
- design and implement methods to analyze data sets which are relevant from a risk management perspective,
- identify and discuss methods for regulatory systems of sustainable financial markets and discuss how aspects of sustainability impact the risk profile of a company.
Literature and preparations
Specific prerequisites
English B / English 6
Completed advanced course in probability theory (SF2940 or equivalent).
Recommended prerequisites
Completed course in portfolio theory and risk management (SF2942 or similar).
Equipment
Literature
Hult, Lindskog, Hammarlid and Rehn: Risk and Portfolio Analysis: Principles and Methods, Springer
Examination and completion
If the course is discontinued, students may request to be examined during the following two academic years.
Grading scale
Examination
- TEN1 - Examination, 4.5 credits, grading scale: A, B, C, D, E, FX, F
- ÖVN1 - Assignments, 3.0 credits, grading scale: P, F
Based on recommendation from KTH’s coordinator for disabilities, the examiner will decide how to adapt an examination for students with documented disability.
The examiner may apply another examination format when re-examining individual students.
Opportunity to complete the requirements via supplementary examination
Opportunity to raise an approved grade via renewed examination
Examiner
Ethical approach
- All members of a group are responsible for the group's work.
- In any assessment, every student shall honestly disclose any help received and sources used.
- In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.