Mathematics of Risk (MAST90051)

Graduate courseworkPoints: 12.5Not available in 2025

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Overview

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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: 4 March 2025

Eligibility and requirements

Prerequisites

Code Name Teaching period Credit Points
MAST30020 Probability for Inference
Semester 1 (On Campus - Parkville)
 12.5

AND

One of

Code Name Teaching period Credit Points
MAST10009 Accelerated Mathematics 2
Semester 2 (On Campus - Parkville)
 12.5
MAST20026 Real Analysis
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
 12.5
MAST20033 Real Analysis: Advanced
Semester 1 (On Campus - Parkville)
 12.5

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: 4 March 2025

Assessment

DescriptionTimingPercentage

Up to 30 pages of written assignments (two assignments worth 10% each, due mid and late in semester)

  • 30 pages
Second half of the teaching period20%

A written examination

  • 3 hours
During the examination period70%

10 weekly online quizzes, starting from week 2

  • 15 minutes (each)
From Week 2 to Week 1110%

Last updated: 4 March 2025

Dates & times

Not available in 2025

Time commitment details

170 hours

What do these dates mean

Visit this webpage to find out about these key dates, including how they impact on:

  • Your tuition fees, academic transcript and statements.
  • And for Commonwealth Supported students, your:
       -  Student Learning Entitlement. This applies to all students enrolled in a Commonwealth Supported Place (CSP).
     

    Subjects withdrawn after the census date (including up to the ‘last day to withdraw without fail’) count toward the Student Learning Entitlement.

Last updated: 4 March 2025

Further information

  • Texts

    Prescribed texts

    Recommended texts and other resources

    Alexander J McNeil, Rüdiger Frey, Paul Embrechts. Quantitative Risk Management: concepts, techniques and tools, Princeton Univ. Press (2005)

  • Related Handbook entries

    This subject contributes to the following:

    TypeName
    CourseMaster of Commerce (Finance)
    CoursePh.D.- Engineering
    CourseMaster of Data Science
    CourseMaster of Science (Mathematics and Statistics)
    CourseDoctor of Philosophy - Engineering
    CourseMaster of Philosophy - Engineering
    Informal specialisationMathematics 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

    This subject is available to students studying at the University from eligible overseas institutions on exchange and study abroad. Students are required to satisfy any listed requirements, such as pre- and co-requisites, for enrolment in the subject.

Last updated: 4 March 2025