University of St Andrews

Key information

SCOTCAT credits : 15

ECTS credits : 7

Level : SCQF level 10

Semester: 2

Planned timetable: 12.00 noon Wed, Fri and odd Mon, and 2.00 pm Fri

The module introduces the concept of financial risk and discusses the importance of its regulation. The emphasis is laid on the popular risk measure Value at Risk (VaR). After a brief discussion on asset returns, various modelling techniques - ranging from the simple Historical Simulation to the more advanced ARMA and GARCH models - are presented and applied for the calculation of VaR using real financial data. The aim of this module is to provide a solid basis in risk management for those students considering a career in finance.

Relationship to other modules

Pre-requisite(s): Before taking this module you must take MT2504 or take MT2508. Pre-requisites are waived for students enrolled on a postgraduate programme within the School of Mathematics and Statistics.

Learning and teaching methods and delivery

Weekly contact: 2.5 lectures (x 10 weeks), 5 tutorials and 5 practical sessions.

Scheduled learning hours: 35

Guided independent study hours: 115

Assessment pattern

As used by St Andrews: 2-hour Written Examination = 80%, Coursework = 20%

As defined by QAA
Written examinations : 80%
Practical examinations : 0%
Coursework: 20%

Re-assessment: 2-hour Written Examination = 100%

Personnel