Enterprise Risk Management, 15.0 Credits
About the course
This course is intended for those who are interested in, or want to work with, risk- and portfolio management in financial companies. The focus is on risk-based management of an asset portfolio or an entire company, which means maximizing its short-and long-term value with regard to risk. We study modern quantitative methods for measuring risk and strategies to manage it. The goal is to provide students with a sound theoretical basis and extensive training in the practical application of these methods, where Monte Carlo simulation will be an important tool. The course also covers the principles of the risk-based regulatory frameworks, Basel II and III and Solvency II, for banks and insurance companies. The work in this course will be based around a series of case studies which the students will work together on in small groups.
Level of Education: Advanced
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Contact Information
Dept of Mathematics and Mathematical Sta
