Book and copies of articles: Hult,
Lindskog, Hammerlid and Rehn: "Risk and portfolio analysis - principles
and methods", available as e-book from Chalmers library (you may download R-code and data for the book from http://www.math.kth.se/%7Elindskog/riskbook.html),
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". The slides for the lectures can be downloaded below and
overheadcopies from lectures.
You can find a glossary of "finance words" at
investorwords.com.
Slides from lectures (will be somewhat updated during the course):
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 Leman Brothers 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
