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Welcome to the course.

Three time slots for consultation on Alexander's technical project 2 have been booked; Wed Dec 3, 1.15-4pm in MVF33, Wed Dec 10, 2.15-5pm in MVF33 and Wed Dec 17, 2.15-5pm in MVF31.

The schedule has been changed so that we will have 4 hours of reading project presenatations on Thursday December 4th. This means that we will not have any activities scheduled after christmas.

Reading project presenations schedule;

Reading project presentations schedule

The schedule for the course can be found via the link to webTimeEdit top of the page.

You will mainly be working in groups of two and during the first lecture (4/11) we will form project groups. You should also decide on a reading project no later than the second lecture (6/11). If you have not decided by then you will be assigned a random reading project. A list of suggested reading projects is found below. Please e-mail mattib 'at' chalmers.se when you have decided on groups and reading projects. The reading project distribution will be based on your top five ranking and the first sent e-mail will give the group sending the e-mail their top ranked project.
Teachers
Course coordinators: Mattias Sunden (MS), mattib 'at' chalmers.se and Alexander Herbertsson (AH), Alexander.Herbertsson 'at' economics.gu.se
Course litterature
We will use parts of "An Introduction to Statistical Modeing of Extreme Values" by Stuart Coles (Springer) and parts of "Analysis ocf Finacial Times Series" by Ruey S. Tsay for the first four lectures and the first technical project. It is recommended that you get this book. Here is a pdf of four chapters from Coles' book and here is a pdf of what is used from Tsays' book. Lecture note slides are mainly based on the two books and found by clicking the dates in the "Programme table" below. Data sets used in the lecture notes for lectures 1-4 are found here and here.

Programme

Lectures
Date Lecturer
Contents
4/11
MS
Forming of project groups. Intro to VaR and EVT. Extremal types and stationarity. Posting of Technical Project 1
6/11
MS
Block Maxima and GEV
11/11
MS
PoT and GPD
13/11
MS
Extremal Index and VaR for stationary series
18/11
AH
Credit risk
20/11
AH
Credit Risk
25/11
AH
Credit Risk
27/11
MS
Reading project presentations. See schedule above
2/12
MS
Reading project presentations
4/12
MS
Reading project presentations (four hours)
9/12
MS
Reading project presentations
11/12
MS/ML
Operative Risks, lecturer Margareta Lindahl
16/12
MS
Reading project presentations
18/12
MS
Reading project presentations
6/1
Santa Claus
Cancelled
8/1
MS
Cancelled until futher notice




Reading project information

Instructions and project suggestions

Instructions and suggestions

Old reading project reports

Worldcom
Basel III
Solvency 2
Markowitz portfolio theory
LTCM
Jerome Kerviel
Gaussian copula
Behavioral finance
Model risk
High frequency trading
Enron
Should banks be allowed to go into bankruptcy?
AIG near bankruptcy
Energy risk
Madoff
Lehman brothers

Course requirements
Basic courses in MathStat, Linear Algebra, Analysis, Basic Programming Skills and Ethics
Technical project information
Found here
How to write a statistical report

Examination
Examination and grading is based on the projects handed in and activity at lectures with focus on the reports handed in and presentations made. Technical and reading project reports should be handed in electronically (attached to e-mails in pdf (created with 'serious' software so that figures and graphs do not "disappear", please make sure that this does not happen). Reports for technical project 1 should be handed in no later than 19/12 and and reports for technical project 2 and the reading project no later than 22/12 (3pm for TP2 and 11.59pm for RP). If handed in later the grade will be at most 3. Reading project reports and reports for technical project 1 should be sent to mattib.chalmers 'at' analys.urkund.se and to mattib 'at' chalmers.se. Reports for technical project 2 should be sent to alexander.herbertsson.gu'at'analys.urkund.se and to Alexander.Herbertsson 'at' economics.gu.se. For more information on handing see the pages for the projects.