1 | Advanced Industrial Organization | EBM826A05 |
This course discusses the state of the art in Industrial Organization theory. Upon completion, the student will be able to critically assess and evaluate current articles in leading journals in this field. Topics that will be covered include price discrimination, auctions, consumer search, two-sided markets, advertising, switching costs, and bundling. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | prof. dr. M.A. Haan | Docent(en) | prof. dr. M.A. HaanProf. Dr. J.L. Moraga González | Onderwijsvorm | -gastcollege , -interactief hoorcollege | Toetsvorm | -individuele opdracht, -schriftelijk tentamen (open vragen) | ECTS | 5 | Entreevoorwaarden | A course in game theory | Opmerkingen | Info: Prof Marco Haan, tel: +31 (0)50 36 37327, email: m.a.haan@rug.nl Secretary: Kimberley Vudinh, k.m.vudinh@rug.nl, room 5411.0734 |
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2 | Applied Macroeconometrics | EBM109A05 |
The course discusses topics in applied macroeconometrics. This course consists of two parts. The first part consists of advanced models for analyzing macroeconomic time series data. We address tests and models for univariate time series, VAR and VECM systems, and State Space Forms with applications. The second part consists of advanced models for analyzing data that are cross-sectionally dependent. A distinction will be made between local (spatial) dependence and common factors. This is a hands-on course: students have to apply the models and concepts in homework exercises. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | prof. dr. J.P. Elhorst | Docent(en) | Dr. A. Dalòprof. dr. J.P. Elhorst | Onderwijsvorm | -computer practicum, -hoorcollege , -individuele begeleiding | Toetsvorm | -individuele opdracht | ECTS | 5 | Entreevoorwaarden | For students in the Research Master in Economics & Business and/or MSc EORAS: Hill, R. Carter, William E. Griffiths, and Guay C. Lim, 2012, 4th edition, John Wiley & Sons Ltd., New York etc.; Verbeek, M., 2012, Econometrics Principles of Econometrics: A Guide to Modern Econometrics, 4th edition, John Wiley & Sons Ltd., New York etc., or equivalent. Software: working knowledge of Excel (or another spreadsheet programme); Eviews or Stata; Matlab, Gauss or R. | Opmerkingen | Secretary: K. Beute, phone: +31(0)50 363 7018, e-mail: k.beute@rug.nl. |
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3 | Applied Microeconometrics | EBM110A05 |
This course provides a thorough understanding of microeconometric methods. During the course applications of the different methods are discussed mainly in the fields of consumption (saving) behavior, labor economics, industrial organisation and financial economics. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | M. Kesina, PhD. | Docent(en) | prof. dr. R.J.M. Alessie M. Kesina, PhD.prof. dr. A.P. van Vuuren | Onderwijsvorm | gecombineerde hoor-/werkcolleges | Toetsvorm | -groepsopdracht, -individuele opdracht | ECTS | 5 | Entreevoorwaarden | Econometric Theory and Methods Econometric Inference | Opmerkingen | Secretary: Martine Geerlings-Koolman, e-mail m.a.koolman@rug.nl, room 5411.0734, phone +31 (0)50 36337018. |
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4 | Asset and Liability Management | EBM111A05 |
The total invested assets of pension funds and insurance companies worldwide adds up to almost $65 trillion. In this course we discuss how these long term institutional investors set their strategic asset allocation (SAA) using Asset Liability Management (ALM) models. We discuss ALM both from an academic and from a practical perspective. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | dr. E.L. Kramer | Docent(en) | dr. E.L. Kramer | Onderwijsvorm | -gastcollege , -hoorcollege | Toetsvorm | -individueel mondeling tentamen | ECTS | 5 | Entreevoorwaarden | Affinity with math, statistics and finance | Opmerkingen | Info: Dr Bert Kramer, e-mail: e.l.kramer@rug.nl. Secretary: Martine Geerlings-Koolman, phone: +31(0)50 36 37018, e-mail: m.a.koolman@rug.nl. |
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5 | Banking, Insurance and Risk Management | EBM067A05 |
Financial institutions such as banks play a key role in the current economic system. Due to this role, they are regulated and supervised to ensure that financial crises (like the 2007 subprime crisis) should not occur. This course concentrates on different risks that financial institutions take, how these risks can be managed, and how the current regulation, especially Basel III, is devised. In particular, we analyze interest rate risk, market risk, credit risk, liquidity risk and operational risk of financial intermediaries. There is also an additional focus on Climate Risk. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | A. Rauf, PhD. MSc. | Docent(en) | prof. dr. L.H. Hoogduin A. Rauf, PhD. MSc.prof. dr. L.J.R. Scholtens | Onderwijsvorm | -gastcollege , -hoorcollege , -werkcollege | Toetsvorm | -groepsopdracht, -schriftelijk tentamen (open en mc vragen) | ECTS | 5 | Entreevoorwaarden | Only for MSc Finance students and for students from the MSc EORAS. Students are expected to have prior knowledge about asset pricing and derivative instruments. It is highly advised to have completed the course Derivate Instruments. | Opmerkingen | Secretary: G. Pol, phone +31(0)50 363 3685, e-mail g.pol@rug.nl, room 5411.0836 |
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6 | Bayesian Statistics | EBM805C05 |
We give an overview of the most relevant machine learning tools for econometrics. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | prof. dr. A.P. van Vuuren | Docent(en) | dr. M. Aerts-Veenstraprof. dr. A.P. van Vuuren | Onderwijsvorm | -groepsbegeleiding , -hoorcollege , -individuele begeleiding | Toetsvorm | -groepsopdracht, -groepspresentatie, -schriftelijk tentamen (open vragen) | ECTS | 5 | Entreevoorwaarden | Statistics: Casella, G.C, R.L. Berger, Statistical Inference; Econometrics: Hayashi, F., Econometrics, ch. 1-3 | Opmerkingen | Secretary: Martine Geerlings-Koolman, tel.: +31(0)50 36 37018, email: m.a.koolman@rug.nl. |
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7 | Dependence & Extremes in Risk Management | EBM113A05 |
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. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | prof. dr. R.H. Koning | Docent(en) | prof. dr. R.H. Koning | Onderwijsvorm | -computer practicum, -hoorcollege , gecombineerde hoor-/werkcolleges | Toetsvorm | -groepsopdracht, -schriftelijk tentamen (open vragen) | ECTS | 5 | 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 |
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8 | Design of Combinatorial Algorithms | EBM115B05 |
In this course students will learn to design solution methods for very large optimization problems in Operations Research. The focus will be on deterministic, NP-hard problems. Students will learn to create a mathematical representation of such problems, to identify promising approaches from academic literature, to design solution methods, to implement solution methods in software, and to report on the design and results. This course will bring to light various methods from current Operations Research literature that are suitable for addressing very large combinatorial optimization problems. Students will learn the skills to identify promising avenues and instrumental usage of available scientific knowledge for solving problems at hand. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | Dr. I. Bakir | Docent(en) | Dr. I. Bakirprof. dr. K.J. Roodbergen | Onderwijsvorm | -groepsbegeleiding , -hoorcollege , -werkcollege | Toetsvorm | -groepsopdracht, -individuele opdracht, -individuele presentatie | ECTS | 5 | Entreevoorwaarden | Students who are not from the EORAS Master programme must contact the teacher before the course starts to verify the fit of course content with the student's mathematical skill set. | Opmerkingen | Info: dr. I. Bakir, phone: +31(0)50 36 38231, e-mail: i.bakir@rug.nl. Secretary Operations, phone: +31(0)50 36 37020, e-mail: secr.operations.feb@rug.nl. |
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9 | Econometric Inference | EBM021A05 |
The course gives an advanced treatment of econometric inferential methods. The emphasis is on settings where linear methods are not necessarily the first choice. A toolkit will be introduced for a range of settings and for a range of possible datasets. The intuition behind the methods will play an important role. Some of this is strongly related to economic reasoning as non-linearities are often motivated by economic theory. The focus is on microeconometrics, that is, the econometric analysis of samples of heterogeneous subjects (individuals, firms, households, schools etc.). The non-linear settings that are discussed include duration (or survival) models, binary outcome models, count data models, and models with truncation or censoring. In addition, the course covers inference on dynamic treatment effects, the combination of different datasets, and some key methods for machine learning with large datasets. Applications will focus on unemployment durations, effects of labor market policy, training and longevity. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | prof. dr. G.J. van den Berg | Docent(en) | student-assistantsprof. dr. G.J. van den Berg | Onderwijsvorm | gecombineerde hoor-/werkcolleges | Toetsvorm | -groepsopdracht, -schriftelijk tentamen (open vragen) | ECTS | 5 | Entreevoorwaarden | (Exchange) students should have a solid background in Mathematics, Statistics, and Econometrics at a level comparable to students who completed the BSc EOR. The course is not suited for exchange students who don't have this background. | Opmerkingen | Info: Prof. Gerard J. van den Berg, e-mail g.j.van.den.berg@rug.nl Secretary: Martine Geerlings-Koolman, phone +31(0)50 363 7018, e-mail m.a.koolman@rug.nl |
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10 | Econometric Theory and Methods | EBM835B05 |
The course gives an advanced treatment of econometric theory and methods. The first part covers least squares estimation. Both finite and large sample properties and inference are discussed. The second part covers generalized method of moments estimation. The discussion encompasses different estimators, large sample properties and testing. The last part covers extremum estimators. The main focus is on large sample properties and testing. Additionally, computational aspects will be addressed. Mathematical and computational skills play an important role. The course provides feedback on written reports about assignments. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | M. Kesina, PhD. | Docent(en) | M. Kesina, PhD. | Onderwijsvorm | gecombineerde hoor-/werkcolleges | Toetsvorm | -schriftelijk tentamen (open vragen), -groepsopdracht | ECTS | 5 | Entreevoorwaarden | (Exchange) students should have a solid background in Mathematics, Statistics, and Econometrics at a level comparable to students who completed the BSc EOR. The course is not suited for exchange students who don't have this background. | Opmerkingen | Info: Dr. Michaela Kesina, phone: +31(0)50 36 33151, e-mail: m.kesina@rug.nl. Secretary: Kim Beute, phone: +31(0)50 36 37018, e-mail: k.beute@rug.nl. |
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11 | Master's Thesis Actuarial Studies | EBM871A20 |
The student writes a scientific report on an individual supervised research project, to show his or her ability to operate as an academic. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | prof. dr. R.H. Koning | Docent(en) | and othersprof. dr. R.H. Koning | Onderwijsvorm | -individuele begeleiding | Toetsvorm | -individuele opdracht, -individuele presentatie | ECTS | 20 | Entreevoorwaarden | At least 20 EC of the master program completed. For further information on the period and requirements see the Nestor community EOR(AS). | Opmerkingen | This course is offered in both semester I and semester II. The quality of the oral presentation can have a marginal effect on the final grade. The process of realization of the thesis plays an important role in the determination of the grade. Secr: Martine Geerlings-Koolman, phone: +3150 36 37018, e-mail: m.a.koolman@rug.nl. |
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12 | Master's Thesis Econometrics | EBM872A20 |
The student writes a scientific report on an individual supervised research project, to show his or her ability to operate as an academic. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | prof. dr. R.H. Koning | Docent(en) | prof. dr. R.J.M. Alessiedr. T. Boot A. Postepska, PhD.prof. dr. G.J. van den Berg | Onderwijsvorm | -individuele begeleiding | Toetsvorm | -individuele opdracht, -individuele presentatie | ECTS | 20 | Entreevoorwaarden | At least 20 EC of the master program completed. For further information on the period and requirements see the Nestor community EOR(AS). | Opmerkingen | This course is offered in both semester I and semester II. The quality of the oral presentation can have a marginal effect on the final grade. The process of realization of the thesis plays an important role in the determination of the grade. Secr: Martine Geerlings-Koolman, phone: +3150 36 37018, e-mail: m.a.koolman@rug.nl. |
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13 | Master's Thesis Operations Research | EBM873A20 |
The student writes a scientific report on an individual supervised research project, to show his or her ability to operate as an academic. |
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14 | Models for Short Term Risk Management | EBM114A05 |
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. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | dr. L. Kong | Docent(en) | dr. L. Kong | Onderwijsvorm | -groepsbegeleiding , -hoorcollege | Toetsvorm | -groepsopdracht, -schriftelijk tentamen (open vragen) | ECTS | 5 | Entreevoorwaarden | Econometrics at BSc level | Opmerkingen | Secr: Martine Geerlings-Koolman, phone: +3150 36 37018, e-mail: m.a.koolman@rug.nl |
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15 | Optimization under Uncertainty | EBM853B05 |
This course deals with optimization problems under uncertainty. Such problems have many applications in, e.g., energy, healthcare, logistics, finance, and engineering. Starting point of the course is a (mixed-integer) linear programming problem with random parameters. Several reformulations of this problem are presented that explicitly deal with the inherent uncertainty in the problem. The main properties for optimization purposes of these resulting stochastic optimization problems are derived and several approximations and solution techniques for such problems are discussed, with special attention to the large-scale deterministic, convex optimization, decomposition algorithms, and Monte Carlo simulation. Applications are illustrated by means of both classroom examples and realistic problems. Students need to solve the latter type of problems using a computer in a case study and need to present the results to their peers. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | dr. W. Romeijnders | Docent(en) | dr. W. Romeijnders L.M. van der Heide | Onderwijsvorm | groepsbegeleiding, hoorcolleges, werkcolleges | Toetsvorm | -groepsopdracht, -groepspresentatie, -schriftelijk tentamen (open vragen) | ECTS | 5 | Entreevoorwaarden | (Exchange) students should have a solid background in Mathematics, Stochastics, and OR at a level comparable to students who completed the BSc EOR. | Opmerkingen | Info: Dr Ward Romeijnders, phone: +31(0)50 36 38613. Secretary Operations, phone: +31(0)50 36 37491, e-mail: secr.operations.feb@rug.nl |
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16 | Planning and Control of Stochastic Syst. | EBM170B05 |
This course is about the planning and control of stochastic systems. Various methodologies will be discussed that are applicable in many areas. As connecting themes, the focus will be on lifetime and degradation modeling, and on maintenance planning and optimization. Other topics such as routing and production decisions will also be touched upon. Optimal policies that will be determined range from static policies that do not respond to the stochastic behavior of the system, to dynamic (control) policies that continuously respond to what happens. Various assignments (both individual and in small groups) have to be solved. Coding in R, Python, or a similar program is required for parts of these assignments. The assignments constitute two thirds of the course grade, the exam one third. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | dr. B. de Jonge | Docent(en) | dr. B. de Jonge | Onderwijsvorm | -hoorcollege , -werkcollege | Toetsvorm | -groepsopdracht, -individuele opdracht | ECTS | 5 | Entreevoorwaarden | Solid background in mathematics and statistics (level comparable to students who completed the BSc EOR), experience with coding in R, Python, Matlab, or a similar program. | Opmerkingen | Info: Dr Bram de Jonge, e-mail b.de.jonge@rug.nl. Secretary Operations: phone +31(0)50 36 37020, e-mail secr.operations.feb@rug.nl. |
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17 | Quantitative Finance | EBM161A05 |
We give an advanced treatment of the most important concepts in financial engineering. The course puts emphasis on the mathematical translation of concepts like risk, riskless profit, derivative, tradable, in continuous time. Both derivative pricing as well as stochastic optimal control used in solving dynamic portfolio problems are introduced. Basic applications of the theory will also be dealt with and the practical applicability will be highlighted. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | dr. L. Dam | Docent(en) | dr. L. Damdr. A.A. Tsvetkov | Onderwijsvorm | -computer practicum, -hoorcollege , -werkcollege | Toetsvorm | -schriftelijk tentamen (open vragen) | ECTS | 5 | Entreevoorwaarden | Knowledge of calculus, basic finance, microeconomics, and dynamic econometrics | Opmerkingen | Info: Dr Lammertjan Dam, phone: +31(0)50 36 36518, e-mail: l.dam@rug.nl. Secr: Grietje Pol, phone: +31(0)50 36 33685, e-mail: g.pol@rug.nl. |
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18 | Supply Chain Optimization | EBM117A05 |
This course deals with optimal forecasting and inventory control. During the first two weeks, all essential theory will be presented during lectures. For the remainder of the course, students will work in groups on a specific topic (from a list). They present their results during the final week of the block, and hand in their reports by the end of that week. |
Faculteit | Economie en Bedrijfskunde | Voertaal | Engels | Coordinator | prof. dr. R.H. Teunter | Docent(en) | prof. dr. R.H. Teunter | Onderwijsvorm | -groepsbegeleiding , -hoorcollege | Toetsvorm | -groepsopdracht, -groepspresentatie, -schriftelijk tentamen (open vragen) | ECTS | 5 | Entreevoorwaarden | No specific requirements, but some background in statistics and optimization is needed. This course is mainly aimed at Econometrics and Operations Research students and has a clear analytical modeling and optimization focus. | Opmerkingen | Info: Prof. Ruud Teunter, phone: +31(0)50 36 38617, e-mail: r.h.teunter@rug.nl Secretary Operations, phone: +31(0)50 36 37020, e-mail: secr.operations.feb@rug.nl |
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