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Guide Rnecon

The document outlines the structure of the final examination and grading criteria for a course, emphasizing the importance of completing assignments and projects before participating in exams. It lists key topics that will be covered in the final examination, including risk management techniques, stochastic processes, and various risk categories. Additionally, it mentions the significance of understanding models and risk indicators relevant to the course material.

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Panagiotis Ballis-Papanastasiou
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12 views1 page

Guide Rnecon

The document outlines the structure of the final examination and grading criteria for a course, emphasizing the importance of completing assignments and projects before participating in exams. It lists key topics that will be covered in the final examination, including risk management techniques, stochastic processes, and various risk categories. Additionally, it mentions the significance of understanding models and risk indicators relevant to the course material.

Uploaded by

Panagiotis Ballis-Papanastasiou
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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29 January 2015

Information on the Final Examination and Grading

Final Examination will cover the topics and examples presented in the lecture notes and tutorials.
Students who have to take the retake examination will be credited from the grades they receive from
Assignments and Project with respect to the weights given to them, as it is announced in the outline
at the beginning of the lecture.

Participating to the final and retake examination without completion of the assignments and project
is not recommended.

2014-2015 Winter Semester Course Guide

1. Risk management definition, steps and major techniques;


2. Risk aversion properties, coherent risk measures
3. Utility and Jensen’s inequality, Determination of optimal premium by utility theory
4. Generating random variables from distributions, Simulation.
5. Understanding and interpreting the basic stochastic processes in finance
6. Risk categories and their managements: Market risk management, credit risk
management, operational risk management, investment risk management
7. Hazard rate, recovery rate, credit ratings
8. Determination of VaR, CVaR.
9. Stress testing, back testing.
10. Managing linear risk: comparison between correlation and copulas
11. The Greeks and their interpretations
12. Linear models such as ARMA(p,q), GARCH models: Validation of the models and
interpretation of the coefficients, graphs.
13. Interpreting and reading risk indicators for the case studies

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