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Enterprise Risk Management

  • Number of credits 15 Credits
  • Level Master’s level
  • Starting Autumn Term 2018

About the course

The aim of this course is to give a good grasp of both the theoretic basis and practical application of quantitative methods for estimating risk and making portfolio selections, relevant to financial institutions and insurance companies. In the beginning of the course, portfolios with different sets of assets are studied, and risk is calculated using analytic approximation, volatility models and extremal value theory. In connection with this, some portfolio choice methods are studied, including classical Markowitz theory. After this, risks and investment strategies for a life insurance company are studied, using so-called ALM-analysis. This is a more involved portfolio choice problem, since it is not sufficient to study the assets, as the exposure towards clients also has to be taken into account. Because of the complexity of the problem, simulation methods are used for this, and an economically credible stochastic scenario generator is constructed, based on market data, together with the implementation of a model for the life insurance company itself.
The question of how to calculate the required risk capital for a life insurance company is also treated, based on balance sheets consistent with the market. This is one of the cornerstones of the regulatory framework Solvence 2 for insurance companies and is used today by many companies in the form of Economic Capital. The course also includes an introduction to credit risk modelling, together with reserve allocation and risk modelling in non-life insurance.

In a degree, this course may not be included together with another course with a similar content. If unsure, students should ask the Director of Studies in Mathematics and Mathematical Statistics. The course can also be included in the subject area of computational science and engineering. 

Application and eligibility

Enterprise Risk Management, 15 hp

Visa tillfällen för föregående termin Autumn Term 2018 Det finns inga senare terminer för kursen

Starts

Lectures begin on week starting 3 September 2018

Ends

Lectures end during the week of 14 January 2019

Study location

Umeå

Language

English (upon request)

Type of studies

Daytime, 50%

Required Knowledge

The course requires 90 ECTS and with at least 60 ECTS in main field of Mathematics and Mathematical Statistics and including courses in Financial Mathematics and Monte Carlo-methods and a basic course in mathematical statistics. Proficiency in English equivalent to Swedish upper secondary course English 5/A. Where the language of instruction is Swedish, applicants must prove proficiency in Swedish to the level required for basic eligibility for higher studies.

Selection

Guaranteed place Applicants in some programs at Umeå University have guaranteed admission to this course. The number of places for a single course may therefore be limited.

Application code

UMU-58028

Application

The online application opens 15 March 2018 at 13:00 CET. Application deadline is 16 April 2018.

Application and Tuition fees

As a citizen of a country outside the European Union (EU), the European Economic Area (EEA) or Switzerland, you are required to pay application and tuition fees for studies at Umeå University.

Application fee

SEK900

Tuition fee, first instalment

SEK33,750

Total fee

SEK33,750

Contact us

Contactperson for the course is: Study counselor Lars-Daniel Öhman

Please be aware that the university is a state body and that what you write here can be included in a public document. Therefore, be careful if you are writing about sensitive or personal matters in this contact form. If you have a such an enquiry, please call us instead. All data will be treated in accordance with The Personal Data Act.

Course is given by
Dept of Mathematics and Mathematical Statistics