SF2980 HT25 Risk Management (51833)

Teachers

Lecturer: Federica Milinanni, email: fedmil@kth.se

Teaching Assistant: Max Oliveberg, email: maxoli@kth.se

Examiner: Henrik Hult, email: hult@kth.se

 

Course literature

Risk and Portfolio Analysis: Principles and Methods, H. Hult, F. Lindskog, O. Hammarlid, and C.-J. Rehn. Springer Series in Operations Research and Financial Engineering, Springer Verlag, 2012. ISBN 978-1-4614-4102-1.

The course is based on Part II, Chapters 7-9, of the book.

 

Examination

There will be two mandatory reports (including presentations) due during the course and a written exam on January 12th 2026, 08:00-13:00.

Registration for the exam is compulsory. You can register at MyPages.

Grades are based on the two reports and the final exam, and given in the range A-F, and Fx.

The criteria for Fx is that the grade is F and an isolated part of the course can be identified where you have shown particular lack of knowledge. The grade Fx gives you the right to a complementary examination. If you pass the complementary examination, you achieve grade E.

Grade E is achieved by passing both projects AND the final exam.

For higher grades the following rule applies. You will get two candidate grades, called first grade and second grade, both in the range A-F, Fx. Your final grade will be the best of these two grades.

• First grade: it is based on the sum of the scores from the two projects and the score on the final exam. The credit from the projects counting towards the final grade will be valid at the final exam and the first re-exam, only.
• Second grade: it is based only on your score on the final exam. 

 

Lectures

There will be three main types of lectures listed in the detailed plan for the course.

At Theory Sessions the basic theory will be presented. Not all topics will be covered in the lectures, so additional reading is required. Some of the theory lectures will be video lectures. 

At Example Sessions some particularly relevant examples and applications will be highlighted.

At Problem Sessions the exercises in the problem book will be discussed.

In addition, there will be Discussion Sessions where we will discuss the project assignments.

Some lectures are given as video lectures and some will be in class. There are two mandatory lectures (see details below). 

 

Following the lectures

The recorded lectures can be found under "Media Gallery". For each lecture in the schedule there is a list of recordings associated to that lecture. Check the information in the Course plan HT25 and in the schedule. It is the intention that you watch the recordings during the scheduled lecture time for video lectures and before the lecture for in-class lectures. 

 

Projects

The projects are intended as open-ended exercises suitable for deeper investigation of some selected topics. You will work on the projects (or related projects) throughout the course. Project information will be available under "Files". Participation in a project group and writing two reports is mandatory to pass the course, and your score on the projects counts towards the final grade. More precisely, the score from the two projects will be added to the score on the final exam and higher grades will be based on the total score. The credit from the projects counting towards the final grade will be valid at the final exam and the first re-exam only.

• You must work in groups of at most four people.

• You must build a project group and state the members of your project group on Canvas by Nov 6, 23:59 (Assignment "Build groups for projects"). 

• You must work actively on the project together with the other group members and be prepared to account for your own and other group members’ contribution.

• The Lecture on November 11, 15:15-17:00, is a discussion session. We will discuss the instructions of Project 1 and answer questions that you have.

• You must hand in the first report by  November 19, at 23:59.

• You must, together with your project group, be prepared to make a  presentation of your project, on November 24,  10:15 - 12:00.  (Mandatory session)

• The Lecture on December 1, 8:15-10:00, is a discussion session. We will discuss the instructions of Project 2 and answer questions that you have.

• You must hand in the second report by  December 5, at 23:59.

• You must, together with your project group, be prepared to make a  presentation of your project, on December 8, 10:15-12:00. (Mandatory session)

 

Course specific information about generative AI

The use of generative AI is allowed and suggested for some tasks in the project assignments. The use of generative AI is prohibited in the written exam.

Throughout the course students are allowed to critically use generative AI to support their learning. The use of AI in project assignments must be clearly documented. More information are available in the dedicated page and in the project instructions.

 

Final Exam

The final exam will be an individual open book exam in class at KTH campus. You can bring all relevant books and written notes that you like to the exam. You can bring a calculator (it may be necessary). Computers and communication devices are prohibited.

The final exam will consist of five problems (10 points for each problem). You need 25 points to pass the final exam.  

 

R-code

Programming for the projects may be done in any language/programming package that you prefer. The recommendation is to use "R". The student may benefit from studying the "R"-code for the examples in the course book. Some code can be found under "Files" and additional code at the course book page: https://people.kth.se/~hult/riskbook.html