MVE220, MSA400GU, 7.5 hp, lp 2, 20012/2013.During the first lecture you will form project groups of 2 persons. I
will do a random group assignment for those who have not chosen group
at 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, 15:00,
Thursday, November 1. Again, if you have not chosen before the deadline
then I will make a random assignment.
Tuesdays 10.15 - 12:00 in MVF 31
Thursdays 13.15 - 15:00 in MVF 31 (first lecture), Pascal (remaining lectures)
Question hours Technical Project 1:Thursday Nov. 22, 10:30 - 12:00 in MVL 22
Tuesday Nov. 27, 15:00 - 16:00 in MVL 22
Tuesday Dec. 4, 13.15 - 14:00 in MVL 22
Question hours Technical project 2:Tuesday Dec 11, 15:00-17:00 in MVL 24
Holger Rootzén , ext. 3578, email@example.com
Alexander Herbertsson , ph. 31-7861394, Alexander.Herbertsson@economics.gu.se
(Credit risk & Technical Project 2)
All your reports
(reading project and technical ones) should also be sent to
firstname.lastname@example.org for analysis by urkund. (Just attach the pdf of your report to an empty
e-mail to this address.)
Reading project reports
Markowitz portfolio theory
High frequency trading
Should banks be allowed to go into bankruptcy?
AIG near bankruptcy
Last day for handing in technical projects, comments on reading projects, and fortunetelling:
Sunday, December 16. Projects which are handed in late or which you get returned can at most get the grade 3.
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
Slides from lectures (will be somewhat updated during the course):
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
Management hedge fund a few years ago, and now the sub-prime crisis in
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
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
The grades are based on projects handed in, and on activity during lectures.
Last modified: Thu May 16 15:46:21 MET DST 2002