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