6 ECTS credits
155 h study time
Offer 2 with catalog number 4017265FNR for all students in the 1st semester
at
a (F) Master - specialised level.
- Semester
- 1st semester
- Enrollment based on exam contract
- Impossible
- Grading method
- Grading (scale from 0 to 20)
- Can retake in second session
- Yes
- Enrollment Requirements
- Studenten Handelsingenieur hebben 'Wiskunde II voor HI', 'Statistiek II voor bedrijfseconomische wetenschappen' en 'International Corporate Finance' gevolgd alvorens dit studieonderdeel op te nemen.
Students of Master International Business must have taken ‘International Finance' or 'International Corporate Finance’, before they can enroll in this course.
Students of Master in Business and Technology must have taken ‘Advanced Mathematics for Business and Technology' and 'International Corporate Finance’, before they can enroll in this course.
- Taught in
- English
- Faculty
- Faculty of Social Sciences & SolvayBusinessSchool
- Department
- Business
- Educational team
- Steven Simon
(course titular)
- Activities and contact hours
- 30 contact hours Lecture
9 contact hours Seminar, Exercises or Practicals
116 contact hours Independent or External Form of Study
- Course Content
- Measuring risk
- Distributions
- Correlations and copulas
- Regulation
- Basel framework
- Solvency II framework
- Credit derivatives and the credit crisis of 2007
- Credit risk: Estimating default probabilities
- Economic capital and RAROC
- Course material
- Digital course material (Required) : slides + klasnota's
- Additional info
Slides and class notes
Scientific literature as background
Teaching Methods
- Lecture: collective contact-dependent moments during which the lecturer engages with learning materials
- Seminar, Exercises or Practicals (Practical): collective or individual contact-dependent moments during which the students are guided to actively engage with learning materials
- Independent or External Form of Study (Self): independent study
This description of the teaching methods is indicative, in order to assess the expected study load.
Lecture: 30 hours
- lectures: 26 hours (13 x 2 hours)
- guest lectures: 4 hours (2 x 2 hours)
Practical: 9 hours
- exercises sessions: 8 hours
- individual feedback: 1 hour
Self: 116 hours
- refresh chapter “probability concepts”: 16 hours
- keeping up with the course material during the semester: 60 hours
- theory, amounting to 2 hours per hour lecture: 52 hours (26 x 2 hours)
- exercises, amounting to 1 hour per lecture: 8 hours
- preparation exam: 40 hours (5 days of 8 hours)
- Learning Outcomes
-
Algemene competenties
- Gaining insight into the concept of risk (and return) in a business context, and how to deal with this
- Achieving a thorough knowledge of portfolio optimisation techniques and being able to apply these in the context of Financial markets
- Gaining insight in the concept of “risk measure”: mastering of the most important risk measures with their properties, advantages and disadvantages, and how these fit with utility considerations
- Being able to use Monte-Carlo Simulations to solve real world problems of economic interest
- Grading
-
The final grade is composed based on the following categories:
Written Exam determines 100% of the final mark.
Within the Written Exam category, the following assignments need to be completed:
- Written Exam
with a relative weight of 1
which comprises 100% of the final mark.
- Additional info regarding evaluation
Not applicable.
- Allowed unsatisfactory mark
- The supplementary Teaching and Examination Regulations of your faculty stipulate whether an allowed unsatisfactory mark for this programme unit is permitted.
Academic context
This offer is part of the following study plans:
Master of Business Engineering: Standaard traject (only offered in Dutch)
Master of International Business: Standaard traject
Master of Business Engineering: Business and Technology: Standaard traject