Note: This is an archived Handbook entry from 2010.
|Dates & Locations:|| |
This subject has the following teaching availabilities in 2010:Semester 2, Parkville - Taught on campus.
Timetable can be viewed here. For information about these dates, click here.
|Time Commitment:||Contact Hours: 36 hours: 2 x one-hour lectures per week and 1 x one-hour practical class per week. |
Total Time Commitment: 120 hours
|Recommended Background Knowledge:||None|
|Non Allowed Subjects:||None|
|Core Participation Requirements:||
For the purposes of considering requests for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Students Experiencing Academic Disadvantage Policy, academic requirements for this subject are articulated in the Subject Description, Subject Objectives, Generic Skills and Assessment Requirements for this entry.
The University is dedicated to provide support to those with special requirements. Further details on the disability support scheme can be found at the Disability Liaison Unit website: http://www.services.unimelb.edu.au/disability/
CoordinatorProf Konstantin Borovkov
|Subject Overview:||Mathematical modelling of various types of risk has become an important component of the modern financial industry. The subject discusses the key aspects of the mathematics of market risk. Main concepts include loss distributions risk and dependence measures copulas risk aggregation and allocation principles elements of extreme value theory. A main theme is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers.|
After completing this subject students will:
|Assessment:||Up to 30 pages of written assignments (20%: two assignments worth 10% each, due mid and late in semester), a 3 hour written examination (80%, in the examination period).|
|Breadth Options:|| |
This subject is not available as a breadth subject.
|Fees Information:||Subject EFTSL, Level, Discipline & Census Date|
Upon completion of this subject, students should develop:
Master of Science (Management Science) |
Master of Science (Mathematics and Statistics)
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