Windstorm Gudrunworldcom

Financial Risk

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.

Meeting times

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

Teachers

Holger Rootzén , ext. 3578, hrootzen@chalmers.se

Alexander Herbertsson , ph. 31-7861394, Alexander.Herbertsson@economics.gu.se (Credit risk & Technical Project 2)


Schedule 2012/13

Groups 2012/13

Reading projects

Technical projects

How to write a statistical report (from another course)

Study ethics

All your reports (reading project and technical ones) should also be sent to
hrootzen.chalmers@analys.urkund.se
for analysis by urkund. (Just attach the pdf of your report to an empty e-mail to this address.)

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?
Credit risk
AIG near bankruptcy
Energy risk
Madoff
Lehman brothers

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.

Literature:

  • 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