GRA 6551 Quantitative Risk and Asset Management
GRA 6551 Quantitative Risk and Asset Management
This course focuses on the management of risks in finance using advanced quantitative models and techniques. We start with the fundamental concepts of financial risk management and an analysis of the properties of financial time-series. We then move to the theory of extreme values and study multivariate models and copulas. The course covers how models and methods should be applied to general financial risk management but also focuses on credit risk and asset/liability management, issues that are paramount for banks and other financial institutions.
By the end of the course the students are expected to know:
- Fundamentals of Risk Managements
- Multivariate time series models suitable for risk and asset management
- Standard risk measures
- Copulas
- Extreme value theory
- Credit risk
- Portfolio choice under non-normality
- Bayesian analysis and portfolio choice
- Asset/liability management
- Benchmark-relative optimization
By the end of the course the students are expected to be able to:
- model market and credit risks using, for instance, copulas or extreme value theory
- perform realistic portfolio choice in an asset and liability setting, for example, under non-normality
- perform optimization under benchmarkig
The students by the end of the course are expected to be able to reflect on the workings and limitations of risk and asset management.
1. Risk management
• Fundamentals of Risk Managements
• Multivariate time series models
• Risk measures
• Copulas
• Extreme value theory
• Credit risk
2. Asset management
• Portfolio choice and non-normality
• Bayesian analysis and portfolio choice
• Asset/liability management
• Benchmark-relative optimization
Please note that while attendance is not compulsory in all courses, it is the student’s own responsibility to obtain any information provided in class that is not included on the course homepage/It's learning or text book.
This is a course with continuous assessment (several exam components) and one final exam code. Each exam component is graded by using points on a scale from 0-100. The components will be weighted together according to the information in the course description in order to calculate the final letter grade for the examination code (course). Students who fail to participate in one/some/all exam elements will get a lower grade or may fail the course. You will find detailed information about the point system and the cut off points with reference to the letter grades when the course start.
At resit, all exam components must, as a main rule, be retaken during next scheduled course.
Computer-based tools Matlab and Excel.
Honour Code
Academic honesty and trust are important to all of us as individuals, and represent values that are encouraged and promoted by the honour code system. This is a most significant university tradition. Students are responsible for familiarizing themselves with the ideals of the honour code system, to which the faculty are also deeply committed. The expected behaviour and honour code is outlined here.
Any violation of the honour code will be dealt with in accordance with BI’s procedures for cheating. These issues are a serious matter to everyone associated with the programs at BI and are at the heart of the honour code and academic integrity. If you have any questions about your responsibilities under the honour code, please ask.
All courses in the Masters programme will assume that students have fulfilled the admission requirements for the programme. In addition, courses in second, third and/or fourth semester can have specific prerequisites and will assume that students have followed normal study progression. For double degree and exchange students, please note that equivalent courses are accepted.
| Assessments |
|---|
Exam category: Submission Form of assessment: Written submission Weight: 50 Grouping: Group (1 - 2) Duration: 24 Hour(s) Comment: Take-home exam Exam code: GRA65511 Grading scale: Point scale leading to ECTS letter grade Resit: All components must, as a main rule, be retaken during next scheduled course |
Exam category: Submission Form of assessment: Written submission Invigilation Weight: 50 Grouping: Individual Support materials:
Duration: 3 Hour(s) Comment: Final written examination under supervision. Exam code: GRA65511 Grading scale: Point scale leading to ECTS letter grade Resit: All components must, as a main rule, be retaken during next scheduled course |
A course of 1 ECTS credit corresponds to a workload of 26-30 hours. Therefore a course of 6 ECTS credits corresponds to a workload of at least 160 hours.