Mathematics of Risk (MAST90051)
Graduate courseworkPoints: 12.5On Campus (Parkville)
For information about the University’s phased return to campus and in-person activity in Winter and Semester 2, please refer to the on-campus subjects page.
Please refer to the LMS for up-to-date subject information, including assessment and participation requirements, for subjects being offered in 2020.
Overview
| Availability | Semester 2 |
|---|---|
| Fees | Look up fees |
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. The main theme is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers.
Intended learning outcomes
After completing this subject students will:
- understand the basic mathematical concepts used in the financial market risk analysis;
- know how these concepts can be applied in situations requiring quantitative risk management;
- gain the ability to pursue further studies in this and related areas.
Generic skills
In addition to learning specific skills that will assist students in their future careers in science, they will have the opportunity to develop generic skills that will assist them in any future career path. These include:
- problem-solving skills: the ability to engage with unfamiliar problems and identify relevant solution strategies;
- analytical skills: the ability to construct and express logical arguments and to work in abstract or general terms to increase the clarity and efficiency of analysis;
- collaborative skills: the ability to work in a team;
- time-management skills: the ability to meet regular deadlines while balancing competing commitments.
Last updated: 3 November 2022
Eligibility and requirements
Prerequisites
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| MAST20026 | Real Analysis |
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
|
12.5 |
and one of the following
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| MAST20004 | Probability |
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
|
12.5 |
| MAST20006 | Probability for Statistics | Semester 1 (On Campus - Parkville) |
12.5 |
or equivalent.
From 2018, prerequisite subjects MAST20004 and MAST20006 will be replaced by MAST30020 Probability for Inference.
All students will be required to have completed MAST30020 or equivalent before enrolling in this subject in 2018.
Corequisites
None
Non-allowed subjects
None
Inherent requirements (core participation requirements)
The University of Melbourne is committed to providing students with reasonable adjustments to assessment and participation under the Disability Standards for Education (2005), and the Assessment and Results Policy (MPF1326). Students are expected to meet the core participation requirements for their course. These can be viewed under Entry and Participation Requirements for the course outlines in the Handbook.
Further details on how to seek academic adjustments can be found on the Student Equity and Disability Support website: http://services.unimelb.edu.au/student-equity/home
Last updated: 3 November 2022
Assessment
Due to the impact of COVID-19, assessment may differ from that published in the Handbook. Students are reminded to check the subject assessment requirements published in the subject outline on the LMS
| Description | Timing | Percentage |
|---|---|---|
Up to 30 pages of written assignments (two assignments worth 10% each, due mid and late in semester)
| Second half of the teaching period | 20% |
A written examination
| During the examination period | 80% |
Last updated: 3 November 2022
Dates & times
- Semester 2
Principal coordinator Konstantin Borovkov Mode of delivery On Campus (Parkville) Contact hours 36 total, comprising two one-hour lectures and one one-hour practice classs per week. Total time commitment 170 hours Teaching period 3 August 2020 to 1 November 2020 Last self-enrol date 14 August 2020 Census date 21 September 2020 Last date to withdraw without fail 16 October 2020 Assessment period ends 27 November 2020 Semester 2 contact information
Time commitment details
170 hours
Last updated: 3 November 2022
Further information
- Texts
- Related Handbook entries
This subject contributes to the following:
Type Name Course Master of Data Science Course Master of Science (Mathematics and Statistics) Course Master of Commerce (Finance) Course Ph.D.- Engineering Course Doctor of Philosophy - Engineering Course Master of Philosophy - Engineering Informal specialisation Mathematics and Statistics - Available through the Community Access Program
About the Community Access Program (CAP)
This subject is available through the Community Access Program (also called Single Subject Studies) which allows you to enrol in single subjects offered by the University of Melbourne, without the commitment required to complete a whole degree.
Please note Single Subject Studies via Community Access Program is not available to student visa holders or applicants
Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.
- Available to Study Abroad and/or Study Exchange Students
Last updated: 3 November 2022