Models for Short Term Risk Management

Faculteit Economie en Bedrijfskunde
Jaar 2021/22
Vakcode EBM114A05
Vaknaam Models for Short Term Risk Management
Niveau(s) master, uitwisseling
Voertaal Engels
Periode semester I b
ECTS 5
Rooster rooster

Uitgebreide vaknaam Models for Short Term Risk Management
Leerdoelen Upon completion of the course the student is able to:
1. Recommend, justify, and appraise models in modern quantitative risk management, focusing on short term time series models.
2. Use the scientific literature in actuarial science and risk management to justify choices when applying such models.
3. Estimate ARIMA-ARCH/GARCH models and EVT models for asset returns.
4. Use ARIMA-ARCH/GARCH models and EVT models in short term forecasting and assess the uncertainty of such forecasts.
5. Write and present a report on a research involving risk modeling, and to discuss the results of and with their peers.
Omschrijving The course considers discrete time models for asset returns over the short run. In particular, ARIMA-ARCH/GARCH models and models used in Extreme Value Theory are presented in both univariate and multivariate settings, and their estimation discussed. Even though the specific focus of the course is modelling risks affecting asset returns, the methods are useful in many other areas of (applied) finance and economics.
Uren per week 4
Onderwijsvorm -groepsbegeleiding ,  -hoorcollege
Toetsvorm -groepsopdracht,  -schriftelijk tentamen (open vragen)
(Group assignments = research paper and exercises)
Vaksoort master
Co├Ârdinator prof. dr. R.H. Koning
Docent(en) dr. L. Kong ,prof. dr. R.H. Koning
Verplichte literatuur
Titel Auteur ISBN Prijs
Quantitative Risk Management Revised Edition Princeton University Press Alexander J McNeil, R├╝diger Frey, Paul Embrechts 9780691166278
Lecture slides
Entreevoorwaarden Econometrics at BSc level
Opmerkingen Secr: Martine Geerlings-Koolman, phone: +3150 36 37018, e-mail: m.a.koolman@rug.nl
Opgenomen in
Opleiding Jaar Periode Type
Courses Exchange (MSc)  ( Courses Exchange Students (MSc) without limited access) 1 semester I b keuze
MSc Econometrics, Operations Research & Actuarial Studies/EORAS  ( Actuarial Studies) 1 semester I b verplicht
MSc Econometrics, Operations Research & Actuarial Studies/EORAS  (keuzevakken MSc EORAS) 1 semester I b keuze
MSc Economics  (keuzevakken B MSc Economics) 1 semester I b keuze