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Financial Risk Management, 6 credits
Finansiell riskhantering, 6 hp
TPPE32
Main field of study
Industrial Engineering and ManagementCourse level
Second cycleCourse type
Programme courseExaminer
Jonas EkblomDirector of studies or equivalent
Fredrik PerssonEducation components
Preliminary scheduled hours: 30 hRecommended self-study hours: 130 h
ECV = Elective / Compulsory / Voluntary
Main field of study
Industrial Engineering and ManagementCourse level
Second cycleAdvancement level
A1XCourse offered for
- Industrial Engineering and Management - International, M Sc in Engineering
- Industrial Engineering and Management, M Sc in Engineering
- Applied Physics and Electrical Engineering, M Sc in Engineering
- Mathematics, Master's programme
- Applied Physics and Electrical Engineering - International, M Sc in Engineering
Entry requirements
Note: Admission requirements for non-programme students usually also include admission requirements for the programme and threshold requirements for progression within the programme, or corresponding.
Prerequisites
Introductory courses in statistics, probability theory, calculus, linear algebra, optimization
Intended learning outcomes
The main aim of the course is to present models and techniques for measuring, controlling and changing financial risk exposure. By completion of the course the student should be able to
- Describe different views on risk and explain how risk relates to expected return.
- Describe and distinguish different financial- and non-financial risk types.
- Describe, implement, analyze and compare methods used to measure risk, evaluate different risk measures and analyze and forecast financial time series.
- Derive central results for and compute different measures of risk.
- Explain how financial regulations affect financial markets.
- Present and critically review studies on financial risk management.
- Apply methods for ethical analysis of financial risks and systematically reflect on, and discuss about, how the society is affected by financial risks.
Course content
- Financial risks (Market-, credit-, liquidity-, and operational risk)
- Business risks (Strategic-, macroeconomic, and political risks)
- Time series analysis (Descriptive statistics, empirical properties)
- Volatility-, and correlation forecasts (EWMA, GARCH, Maximum-likelihood estimation, Copula)
- Risk measures (Value-at-Risk, Expected shortfall, Extreme value theory, Back-testing, Stress-testing)
- Financial regulation (Basel I, II och III, Solvency II)
- Risk mapping (Risk factors)
- Ethical analysis of risk
Teaching and working methods
The teaching is organized in lectures and seminars. The seminars will be used for presentations and discussions of the group assignments in the course.
Examination
| UPG2 | Seminar assignment | 2 credits | U, G |
| MUN2 | Oral examination | 4 credits | U, 3, 4, 5 |
Grades
Four-grade scale, LiU, U, 3, 4, 5Other information
Supplementary courses:
Portfolio Management, Financial Valuation Methodology, , Financial Optimization
Department
Institutionen för ekonomisk och industriell utvecklingDirector of Studies or equivalent
Fredrik PerssonExaminer
Jonas EkblomCourse website and other links
http://www.iei.liu.se/prodek/utbildning/tppe32Education components
Preliminary scheduled hours: 30 hRecommended self-study hours: 130 h
Course literature
Hull J.C., Risk Management and Financial Institutions| Code | Name | Scope | Grading scale |
|---|---|---|---|
| UPG2 | Seminar assignment | 2 credits | U, G |
| MUN2 | Oral examination | 4 credits | U, 3, 4, 5 |
Regulations (apply to LiU in its entirety)
The university is a government agency whose operations are regulated by legislation and ordinances, which include the Higher Education Act and the Higher Education Ordinance. In addition to legislation and ordinances, operations are subject to several policy documents. The Linköping University rule book collects currently valid decisions of a regulatory nature taken by the university board, the vice-chancellor and faculty/department boards.
LiU’s rule book for education at first-cycle and second-cycle levels is available at http://styrdokument.liu.se/Regelsamling/Innehall/Utbildning_pa_grund-_och_avancerad_niva.
Course literature is preliminary.
Hull J.C., Risk Management and Financial Institutions
Note: The course matrix might contain more information in Swedish.
I = Introduce, U = Teach, A = Utilize
| I | U | A | Modules | Comment | ||
|---|---|---|---|---|---|---|
| 1. DISCIPLINARY KNOWLEDGE AND REASONING | ||||||
| 1.1 Knowledge of underlying mathematics and science (G1X level) |
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X
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| 1.2 Fundamental engineering knowledge (G1X level) |
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X
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| 1.3 Further knowledge, methods, and tools in one or several subjects in engineering or natural science (G2X level) |
X
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X
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X
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| 1.4 Advanced knowledge, methods, and tools in one or several subjects in engineering or natural sciences (A1X level) |
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| 1.5 Insight into current research and development work |
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| 2. PERSONAL AND PROFESSIONAL SKILLS AND ATTRIBUTES | ||||||
| 2.1 Analytical reasoning and problem solving |
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X
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| 2.2 Experimentation, investigation, and knowledge discovery |
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| 2.3 System thinking |
X
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| 2.4 Attitudes, thought, and learning |
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X
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| 2.5 Ethics, equity, and other responsibilities |
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X
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| 3. INTERPERSONAL SKILLS: TEAMWORK AND COMMUNICATION | ||||||
| 3.1 Teamwork |
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X
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| 3.2 Communications |
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X
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| 3.3 Communication in foreign languages |
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| 4. CONCEIVING, DESIGNING, IMPLEMENTING AND OPERATING SYSTEMS IN THE ENTERPRISE, SOCIETAL AND ENVIRONMENTAL CONTEXT | ||||||
| 4.1 External, societal, and environmental context |
X
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X
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| 4.2 Enterprise and business context |
X
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| 4.3 Conceiving, system engineering and management |
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| 4.4 Designing |
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| 4.5 Implementing |
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| 4.6 Operating |
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| 5. PLANNING, EXECUTION AND PRESENTATION OF RESEARCH DEVELOPMENT PROJECTS WITH RESPECT TO SCIENTIFIC AND SOCIETAL NEEDS AND REQUIREMENTS | ||||||
| 5.1 Societal conditions, including economic, social, and ecological aspects of sustainable development for knowledge development |
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| 5.2 Economic conditions for knowledge development |
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| 5.3 Identification of needs, structuring and planning of research or development projects |
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| 5.4 Execution of research or development projects |
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| 5.5 Presentation and evaluation of research or development projects |
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