IØ8304 - Market Risk Analysis


Examination arrangement

Examination arrangement: Oral examination
Grade: Passed/Failed

Evaluation form Weighting Duration Examination aids Grade deviation
Oral examination 100/100

Course content

This course covers advanced empirical and quantitative analyses of financial and commodity markets. With financial markets we mean stocks, currency, and bond markets. With commodity markets we mean energy, metals, agricultural markets, and related markets (such as fish/shipping/freight markets/weather markets etc.). Through the course, the students are expected to develop competence in conducting their own empirical analyses of asset prices. The course will consist of a mixture of standard lecturing and practical exercises, interfacing econometric methods and theories and topics from finance and commodity market economics.

Learning outcome

After completing the course, the student should
- understand the most important empirical concepts for modeling and forecasting of prices, returns, volatility, and risk from various markets.
- have aquired experience of applying relevant market data and implemented state of the art econometric models.
- read and understand research articles in the area of empirical finance.
- conduct and presented exercises and a termpaper based on selected topics from the literature.

Learning methods and activities

Lectures, performance of datacases, seminars/student presentations, project work, guest lectures.

The course can be given in form of intensive lectures with several hours per day, several days per week, during a limited number of weeks. Alternatively, the course can also be taken as an independent study program.

Compulsory work: Computor exercises/presentations covering all areas of the course. Oral exam will be based on pensum and seminar activities.

Compulsory assignments

  • Computer exercises

Specific conditions

Exam registration requires that class registration is approved in the same semester. Compulsory activities from previous semester may be approved by the department.

Course materials

Carol Alexander, 2008, Market Risk Analysis, Wiley (4 Books)

Credit reductions

Course code Reduction From To
TIØ4557 3.5 2015-09-01


Detailed timetable


Examination arrangement: Oral examination

Term Statuskode Evaluation form Weighting Examination aids Date Time Room *
Autumn ORD Oral examination 100/100
Spring ORD Oral examination 100/100
  • * The location (room) for a written examination is published 3 days before examination date.
If more than one room is listed, you will find your room at Studentweb.