Dependence & Extremes in Risk Management

Faculteit Economie en Bedrijfskunde
Jaar 2021/22
Vakcode EBM113A05
Vaknaam Dependence & Extremes in Risk Management
Niveau(s) master, uitwisseling
Voertaal Engels
Periode semester I a
ECTS 5
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Uitgebreide vaknaam Dependence & Extremes in Risk Management
Leerdoelen Upon completion of the course the student is able to:
1. Recommend, justify, and appraise models in modern quantitative risk management.
2. Use the scientific literature in actuarial science and risk management to justify choices when applying such models.
3. Evaluate properties of estimators in simple settings
4. Apply these risk models to simple cases
5. Replicate, assess, and evaluate a scientific paper
6. Appreciate the restrictions of the (multivariate) normal distribution, and able to propose alternatives.
Omschrijving The normal distribution is the one most used in theoretical and practical work, because of its tractability. However, it imposes strong restrictions on extremes, and dependence (in the context of multivariate random variables). In this course, we explore alternatives to the distribution, and argue that modern risk management should be focusing on tail behaviour. Also, we treat an alternative way to model dependence between random variables: by specifying the marginal distributions and the dependence structure separately, using copula's. Even though models in risk management provide the leading examples, the methods are widely applicable.
Uren per week 4
Onderwijsvorm -computer practicum,  -hoorcollege , gecombineerde hoor-/werkcolleges
Toetsvorm -groepsopdracht,  -schriftelijk tentamen (open vragen)
(Group homework assignments)
Vaksoort master
Coördinator prof. dr. R.H. Koning
Docent(en) prof. dr. R.H. Koning
Verplichte literatuur
Titel Auteur ISBN Prijs
Articles Various
Quantitative Risk Management, 2015, Princeton University Press McNeil, A.J., R.Frey, P. Embrechts
Entreevoorwaarden The course assumes active knowledge of multivariate statistics, and the computer assignments are done in R.
Opmerkingen Info: Prof. Ruud Koning, phone +31(0)50 36 37192, e-mail r.h.koning@rug.nl
Secretary: Martine Geerlings-Koolman, phone +31(0)50 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 a keuze
DD MSc IFM - UCSC, Milan (2-year)  (core programme DD MSC IFM - UCSC, Milan) 2 semester I a verplicht
MSc Econometrics, Operations Research & Actuarial Studies/EORAS  ( Actuarial Studies) 1 semester I a verplicht
MSc Econometrics, Operations Research & Actuarial Studies/EORAS  (keuzevakken MSc EORAS) 1 semester I a keuze
MSc Economics  (keuzevakken B MSc Economics) 1 semester I a keuze
MSc International Financial Management/IFM  (keuzevakken MSc IFM) 1 semester I a keuze