Risk Management (ΣΕΕ16)

Graduate Courses Outlines - Department of Mathematics

General

School	School of Science
Academic Unit	Department of Mathematics
Level of Studies	Graduate
Course Code	ΣΣΕ16
Semester	1
Course Title	Risk Management
Independent Teaching Activities	Lectures (Weekly Teaching Hours: 3, Credits: 7.5)
Course Type	Specialized general knowledge
Prerequisite Courses	-
Language of Instruction and Examinations	Greek
Is the Course Offered to Erasmus Students	Yes (in English)
Course Website (URL)	See eCourse, the Learning Management System maintained by the University of Ioannina.

Learning Outcomes

Learning outcomes	By the end of the course, successful students will be able to: have a broader view on risk analysis and management acquire state-of-the-art quantitative techniques for modelling risk factors and managing risk use common risk models, as well as develop customized versions for different risk management problems.
General Competences	Working independently Decision-making Adapting to new situations Production of free, creative and inductive thinking Synthesis of data and information, with the use of the necessary technology Project planning and management

Syllabus

• Structure of uncertainty and risk - Bayesian method, portfolio risk
• Measuring risk: Value at risk and conditional value at risk, generic risk measures, coherent risk measures, application of the risk measures to simple problems.
• Decision analysis: utility theory, stochastic dominance models, St. Petersburg paradox, Allais paradox
• Stochastic modelling and applications: portfolio optimization, production planning, robust approaches for stochastic optimization

Teaching and Learning Methods - Evaluation

Delivery	Face-to-face
Use of Information and Communications Technology	-
Teaching Methods	Activity Semester Workload Lectures 39 Independent study 70 Study and analysis of bibliography, Fieldwork 78.5 Course total 187.5
Student Performance Evaluation	LANGUAGE OF EVALUATION: Greek METHODS OF EVALUATION: written work (20%), Final exam (80%)

Attached Bibliography

• Anderson EJ (2014). Business Risk Management: Models and Analysis. Wiley
• Boudoukh A., J., A. Saunders (2009) Understanding Market, Credit, and Operational Risk: The Value at Risk Approach Linda, Wiley-Blackwell
• McNeil, A.J., R. Frey and P. Embrechts, (2005) Quantitative Risk Management, Princeton University Press, New Jersey
• [Περιοδικό / Journal] Risk Management