ØABED4300 Risk Management Course description

• Innføring i vitenskapsteori.
• Autokorrelasjon, Stasjonæritet, Kointegrasjon.
• Auto- og vektorregressive modeller (ARMA, VAR).
• Modellering av volatilitet (ARCH, GARCH).
• Paneldatamodeller.
• Estimering med generalisert momentmetode (GMM).

Applied Statistical Methods, Corporate Finance and Financial Markets.

None.

Knowledge

The student has

• a broad overview of different sources of risks and how they affect the cashflows and the value of the corporation
• knowledge about how to quantify those risks with popular risk measures
• knowledge of how to mitigate or eliminate the risk exposure with standard derivative contracts
• understanding of when risk management adds value to a corporation

Skills

The student can

• identify different sources of risks and quantify a corporation¿s exposure to them
• calculate the impact of different risks using popular risk measures, e.g., Value-at-Risk, for individual positions and for entire portfolios or the entire corporation
• employ appropriate financial instruments to mitigate or eliminate the impact of the different sources of risks.

Competence

The student is able to quantify and manage the risk of a corporation and has a critical understanding of the limitations of the various techniques discussed in the course.

The course covers the following topics:

• The need for risk management
• Risk in selected markets: currency, commodity, financial securities
• Methods to measure and quantify risk
• VaR, stress testing, simulation and other methods
• Risk management: neutralisation, diversification, insurance

The course is taught in plenary lectures, and students work on and discuss different assignments in groups and plenary sessions.

Students have to hand in written assignments by set deadlines during the semester. The scope of the assignment (number of pages) varies depending on the nature of the assignment. Approval of the assignments is a condition for taking the exam. If the assignment is not approved, the student will be given one opportunity to submit an improved version. The lecturer will inform students of deadlines for submission.

A supervised written four-hour exam is held at the end of the semester.

Calculator (see separate regulations). One dictionary (either first language-English/English-first language or English/English)

A grade scale with grades from A to E for pass and F for fail is used.

An external examiner will grade the exam papers together with an internal examiner.