Curricula 2015 – 2017
Learning outcomes
After the course, the student will be able to apply various techniques to analyse financial data such as asset portfolios and their returns, predict their value and risk, and make decisions based on the predictions. Detailed topics potentially include: determining the value-at-risk in individual and collective risk models; applying classical ruin theory to compute ruin probabilites in some simple cases; basic portfolio management; and making volatility forecasts.
Contents
Main concepts of risk theory, potentially including utility theory, individual risk model, collective risk models and ruin theory.
Some concepts of financial data analysis, potentially including basic investment models such as the Capital Asset Pricing Model and their statistical analysis, and dynamic models of asset returns and their volatilities.
Modes of study
- Degree Programme Students
- Other Students
- Open University Students
- Doctoral Students
- Exchange Students
Evaluation
Numeric 1-5.Study materials
Kaas et al: Modern Actuarial Risk Theory Using R, Springer, 2nd ed, 2008
Lai and Xing: Statistical Methods for Financial Markets, Springer, 2008
Belongs to following study modules
2018–2019