Financial Risk

MVE220, 7.5 hp, lp 2, 2009/2010.

  • Meeting times

    Tuesdays and Fridays 10.15 - 12:00

    First lecture

    Tuesday, October 27, 10.15 - 12:00 in MVF33, the Mathematical Sciences building map

    During the first lecture you will form project groups of 2 persons (if many participants, group sizes may be increased). I will do a random group assignment for those who have not chosen group the end of the first lecture. You are encouraged to make your choice of reading project and project to discuss during the first lecture. However, the deadline for this is the end of the second lecture, 12:00, Friday, October 30. Again, if you have not chosen before the deadline then I will make a random assignment.

    Teachers

    Holger Rootzén , ext. 3578, rootzen@chalmers.se and Alexander Herbertsson , ph. 31-786 13 94, Alexander.Herbertsson@economics.gu.se

    Schedule 2009/10

    Readingprojects

    Technical projects

    Study ethics

    Readingproject reports

    Last day for handing in technical projects, comments on reading projects, and fortunetelling: Sunday, December 13. Projects which are handed in late or which you get returned can at most get the grade 3.

    Literature:

    Book and copies of articles Hult & Lindskog: "Mathematical methods in risk management", Coles: "An introduction to statistical modelling of extreme values", Rootzen & Tajvidi: "Extreme value statistics and wind storm insurance: a case study", Lauridsen. "Estimating value at risk by extreme value methods") and overheadcopies from lectures You can find a glossary of "finance words" at investorwords.com.

    Slides from lectures:

    Lecture 1, Lecture 2, Lecture 3, Lecture 4, Lecture 1 in credit risk, Lecture 2 in credit risk,

    Computer accounts

    If you do not have a Chalmers computer account you can go to the help desk in the Mathematical Sciences building. You should be able to get one there, provided you are registered on the course.

    Course aim:

    To increase awareness of the risks which unavoidably are inherent in economic activities, that participants acquire a historical and critical perspective on the area, and that they learn to use a number of quantitative methods for risk management, and learn about the limitations of the methods.

    Course content and organization:

    Economic risks with with irregular intervals lead to catahastrophic economic losses. Spectacular examples include the tulip speculation in Holland in the 17-th centrury, the losses of billions in Barings Bank and the Long Term Capital Management hedge fund a few years ago, and now the sub-prime crisis in the USA.

    The course gives a short historic introduction to the area, and practise in using quantitative methods for economic risk management, in particular insurance mathematical methods, "Value at Risk", and Credit Risk.

    Prerequisites: Basic course in Mathematical Statistics, Linear Algebra, and Calculus (incl several variables), and computer skills.

    The meetings will include lectures and work by course participants: presentation of articles read, and smaller and larger projects.

    Examination:

    The grades are based on projects handed in, and on activity during lectures.
    Last modified: Thu May 16 15:46:21 MET DST 2002