Models for Short Term Risk Management

Faculteit Economie en Bedrijfskunde
Jaar 2017/18
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 case study in modeling of risk, 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 hoorcolleges
Toetsvorm opdracht(en), presentatie(s), schriftelijk tentamen met open vragen
(Group assignments = research paper and exercises)
Vaksoort master
Coördinator dr. D. Ronchetti
Docent(en) dr. D. Ronchetti
Verplichte literatuur
Titel Auteur ISBN Prijs
Articles
Quantitative Risk Management (2005), Princeton University Press

AJ McNeil, R Frey, P Embrechts
Lecture slides
Entreevoorwaarden Econometrics at BSc level
Opmerkingen Info: Dr Diego Ronchetti, phone: +3150 363 3460, e-mail: d.ronchetti@rug.nl.
Secr: Martine Geerlings-Koolman, phone: +3150 363 7018, e-mail: m.a.koolman@rug.nl.
Opgenomen in
Opleiding Jaar Periode Type
Courses open to Exchange Students (MSc)  ( Courses open to 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