| 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. Haan | | Onderwijsvorm | gecombineerde hoor-/werkcolleges | | Toetsvorm | opdracht(en), schriftelijk tentamen, tussentoets(en) | | ECTS | 5 | | Entreevoorwaarden | A course in game theory | | Opmerkingen | Info: Dr 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. The first two lectures cover macroeconomic data and univariate testing and modelling. The next two lectures present developments in multivariate modelling, in particular Vector AutoRegressions and Vector Error Correction systems. The third block of lectures deals with unobserved component models, state space modelling, Kalman filter, factor models and FAVAR. The final set of lectures covers dynamic panel data models with and without cross-sectional independence. This is a hands-on course: students have to apply the models and concepts in homework exercises. |
| Faculteit | Economie en Bedrijfskunde | | Voertaal | Engels | | Coordinator | dr. T. Boot | | Docent(en) | dr. T. Bootprof. dr. J.P. Elhorst | | Onderwijsvorm | | | Toetsvorm | opdracht(en), paper | | ECTS | 5 | | Entreevoorwaarden | For students in the Research Master in Economics & Business and/or MSc EORAS.
Econometrics, Hill, R. Carter, William E. Griffiths, and Guay C. Lim, 2012, Principles of Econometrics, 4th edition, John Wiley & Sons Ltd., New York etc., A Guide to Modern Econometrics, Verbeek, M., 2012, 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: M.A. Geerlings-Koolman, phone: +31(0)50 363 7018, e-mail: m.a.koolman@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 | prof. dr. R.J.M. Alessie | | Docent(en) | prof. dr. R.J.M. Alessieprof. dr. T.J. Wansbeek | | Onderwijsvorm | gecombineerde hoor-/werkcolleges, practica, zelfstudie | | Toetsvorm | opdracht(en) | | ECTS | 5 | | Entreevoorwaarden | Econometric theory and methods
Econometric inference | | Opmerkingen | Info: Prof. Rob Alessie, phone: +31(0)50 36 37240, e-mail: r.j.m.alessie@rug.nl
Secretary: Kimberley Vudinh, k.m.vudinh@rug.nl, room 5411.0734 |
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| 4 | Applied Statistics for EORAS | EBM805B05 |
We give an overview of the Bayesian approach to statistics and econometrics. Unlike “conventional” statisticians and econometricians, Bayesians are subjective need not believe in the notion of a fixed true parameter, but instead formulate their beliefs on parameters of interest and use data to update these beliefs. The workhorse tool to achieve this is Bayes' theorem. We shall devote attention to both the theoretical underpinnings of the methods and their practical implementation to (dynamic) econometric models.
We start with basics such as Bayes’ theorem, prior and posterior distributions, then discuss the workhorse linear regression model from a Bayesian point of view to move on to simulation methods like rejection sampling, Gibbs sampling and the Metropolis-Hastings algorithm. The final part applies these methods to some (dynamic) econometric models. |
| Faculteit | Economie en Bedrijfskunde | | Voertaal | Engels | | Coordinator | dr. C.H. Hanck | | Docent(en) | dr. C.H. Hanck | | Onderwijsvorm | opdracht(en), werkcolleges, zelfstudie | | Toetsvorm | opdracht(en), presentatie(s) | | ECTS | 5 | | Entreevoorwaarden | Statistics: Statistical Inference, Casella, G.C, R.L. Berger
Econometrics: Econometrics, Hayashi, F., ch. 1-3 | | Opmerkingen | Secretariaat: Martine Geerlings-Koolman, tel.: 050 36 37018, email: m.a.koolman@rug.nl. |
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| 5 | Asset and Liability Management | EBM111A05 |
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| Faculteit | Economie en Bedrijfskunde | | Voertaal | Engels | | Coordinator | dr. E.L. Kramer | | Docent(en) | dr. E.L. Kramer | | Onderwijsvorm | hoorcolleges, zelfstudie | | Toetsvorm | schriftelijk tentamen met open vragen, opdracht(en) | | ECTS | 5 | | Entreevoorwaarden | Affinity with math, statistics and finance, comfortable with matlab or related languages, or willing and able to become so. | | 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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| 6 | 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. |
| Faculteit | Economie en Bedrijfskunde | | Voertaal | Engels | | Coordinator | dr. A. Plantinga | | Docent(en) | dr. A. Plantingaprof. dr. L.J.R. Scholtens | | Onderwijsvorm | hoorcolleges | | Toetsvorm | opdracht(en), schriftelijk tentamen met meerkeuzevragen, schriftelijk tentamen met open 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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| 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 | gecombineerde hoor-/werkcolleges, hoorcolleges | | Toetsvorm | opdracht(en), schriftelijk tentamen met open vragen | | ECTS | 5 | | 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 | Econometric Inference | EBM021A05 |
The course gives an advanced treatment of econometric inferential methods.The course provides feedback on academically written reports about assignments. The topics cover:
• Instrumental Variable Estimation: large-sample testing, bootstrap testing, Durbin-Wu-Hausman testing, nonlinear models,
• Generalized method of moments: GMM for linear models, HAC estimation, nonlinear models, method of simulated moments,
• Maximum likelihood, asymptotic properties, three classical tests, autoregressive errors,
• Multivariate models: SUR model, linear simultaneous equations, maximum likelihood estimation, LIML, FIML, nonlinear models. |
| Faculteit | Economie en Bedrijfskunde | | Voertaal | Engels | | Coordinator | prof. dr. P.A. Bekker | | Docent(en) | prof. dr. P.A. Bekker | | Onderwijsvorm | gecombineerde hoor-/werkcolleges, zelfstudie | | Toetsvorm | opdracht(en), schriftelijk tentamen | | 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. Paul Bekker, phone +31(0)50 363 3817, e-mail p.a.bekker@rug.nl
Secretary: Martine Geerlings-Koolman, phone +31(0)50 363 7018, e-mail m.a.koolman@rug.nl |
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| 9 | Econometric Theory and Methods | EBM835B05 |
The course gives an advanced treatment of econometric methods. Both matrix algebra and computing skills play an important role. The course provides substantial feedback on written reports about assignments. The topics cover:
• Statistical properties of OLS
• Hypothesis testing in linear regression models: exact, large sample, simulation based, power,
• Confidence sets: exact, bootstrap, heteroskedastic-consistent,
• Nonlinear regression: method of moments, NLS, Gauss-Newton regression, heteroskedastic robust testing,
• Generalized least squares: feasible GLS, AR and MA processes, testing for serial correlation, autoregressive errors, specification testing. |
| Faculteit | Economie en Bedrijfskunde | | Voertaal | Engels | | Coordinator | prof. dr. P.A. Bekker | | Docent(en) | prof. dr. P.A. Bekker | | Onderwijsvorm | gecombineerde hoor-/werkcolleges | | Toetsvorm | opdracht(en), schriftelijk tentamen met 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. Paul Bekker, phone +31(0)50 363 3817, e-mail p.a.bekker@rug.nl
Secretary: Martine Geerlings-Koolman, phone +31(0)50 363 7018, e-mail m.a.koolman@rug.nl |
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| 10 | Financial Econometrics | EBM820A05 |
| Econometrical and statistical analyses of major aspects of asset allocation, portfolio and index construction, and the prediction of yield curves. We will cover essential theoretical issues and use empirical data to implement and test the tools developed and discussed. |
| Faculteit | Economie en Bedrijfskunde | | Voertaal | Engels | | Coordinator | dr. L. Dam | | Docent(en) | dr. L. Dam J.V. Tinang Nzesseu, M. | | Onderwijsvorm | hoor- en werkcolleges, opdracht(en), zelfstudie | | Toetsvorm | opdracht(en), schriftelijk tentamen met open vragen | | ECTS | 5 | | Entreevoorwaarden | Affinity with math, statistics and finance, comfortable with Matlab or related languages, or willing and able to become so. | | Opmerkingen | Secretary: G. Pol, phone +31(0)50 363 3685, e-mail g.pol@rug.nl, room 5411.0836 |
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| 11 | Maintenance Planning and Optimization | EBM170A05 |
Due to ongoing automation of operational processes and increasing reliance on required equipment, the importance of effectively planned maintenance activities is growing. In this course, a wide variety of methods will be used to optimize maintenance strategies. These methods include algebraic analysis, numerical calculations, dynamic programming, Markov decisions processes and simulation. Both single-unit and multi-unit systems will be analyzed using these methods. Furthermore, various preventive maintenance strategies will be considered (e.g. time-based, condition-based and opportunistic), and models with deterministic as well as stochastic parameters will be analyzed. Finally, optimal maintenance decisions under uncertainty in model parameters will be studied and Bayesian statistics will be used to update these uncertainties.
Various assignments (both individual and in small groups) have to be solved. Coding in R is required for some of the assignments. The assignments determine 2/3 of the course grade, the exam 1/3. |
| Faculteit | Economie en Bedrijfskunde | | Voertaal | Engels | | Coordinator | dr. B. de Jonge | | Docent(en) | dr. B. de Jonge | | Onderwijsvorm | hoorcolleges, opdracht(en) | | Toetsvorm | opdracht(en), schriftelijk tentamen met open vragen | | ECTS | 5 | | Entreevoorwaarden | Solid background in mathematics and statistics (level comparable to students who completed the BSc EOR), experience with coding in R, Matlab, or a similar program. | | Opmerkingen | Info: Dr Bram de Jonge, phone +31(0)50 36 33723, 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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| 12 | 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 | dr. C. Praagman | | Docent(en) | prof. dr. R.H. Koningdr. C. Praagmanprof. dr. L. Spierdijk | | Onderwijsvorm | afstudeeropdracht | | Toetsvorm | schriftelijk tentamen, presentatie(s) | | 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.
Info: Dr Kees Praagman, phone: +3150 36 37076, e-mail: c.praagman@rug.nl.
Secr: Martine Geerlings-Koolman, phone: +3150 36 37018, e-mail: m.a.koolman@rug.nl. |
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| 13 | 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 | dr. C. Praagman | | Docent(en) | prof. dr. R.J.M. Alessieprof. dr. P.A. Bekkerdr. T. Boot A. Postepska, PhD.dr. D. Ronchettiprof. dr. T.J. Wansbeek | | Onderwijsvorm | afstudeeropdracht | | Toetsvorm | presentatie(s), schriftelijk tentamen | | 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.
Info: Dr Kees Praagman, phone: +3150 36 37076, e-mail: c.praagman@rug.nl.
Secr: Martine Geerlings-Koolman, phone: +3150 36 37018, e-mail: m.a.koolman@rug.nl. |
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| 14 | 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. |
| Faculteit | Economie en Bedrijfskunde | | Voertaal | Engels | | Coordinator | dr. C. Praagman | | Docent(en) | dr. B. de Jongedr. W. Romeijndersprof. dr. K.J. Roodbergenprof. dr. R.H. Teunterdr. E. Ursavasdr. N.D. van Foreestdr. X. Zhu | | Onderwijsvorm | afstudeeropdracht | | Toetsvorm | presentatie(s), schriftelijk tentamen | | ECTS | 20 | | Entreevoorwaarden | At least 20 ECTS of the master program completed. For further information on the period and requirements see the Nestor community EOR(AS). | | Opmerkingen | 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.
Info: Dr Kees Praagman, phone: +31(0)50 36 37076, e-mail: c.praagman@rug.nl.
Secretary: Martine Geerlings-Koolman, phone: +31(0)50 36 37018, e-mail: m.a.koolman@rug.nl. |
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| 15 | 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. D. Ronchetti | | Docent(en) | dr. D. Ronchetti | | Onderwijsvorm | hoorcolleges | | Toetsvorm | presentatie(s), schriftelijk tentamen met open vragen, opdracht(en) | | ECTS | 5 | | Entreevoorwaarden | Econometrics at BSc level | | Opmerkingen | Info: Dr Diego Ronchetti, phone: +3150 36 33460, e-mail: d.ronchetti@rug.nl.
Secr: Martine Geerlings-Koolman, phone: +3150 36 37018, e-mail: m.a.koolman@rug.nl. |
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| 16 | OR Analysis of Complex Systems | EBM115A05 |
In this course students will learn to find solutions for unstructured problems from practice for which no solution methods are available from literature. During the course students will go through all stages of the design process. First creating a proper mathematical representation of the problem, followed by searching literature for solution approaches for related problems, identifying opportunities, designing solution approaches, implementing the approaches in software, benchmarking of performance, and reporting of results.
This course format will bring to light various methods from current Operations Research literature that have not been treated in other courses before. 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 | prof. dr. K.J. Roodbergen | | Docent(en) | dr. I. Bakirprof. dr. K.J. Roodbergen | | Onderwijsvorm | hoor- en werkcolleges | | Toetsvorm | opdracht(en), paper, presentatie(s) | | 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: Prof. Kees Jan Roodbergen, phone: +31(0)50 36 32360, e-mail: k.j.roodbergen@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. Dam A.A. Tsvetkov, PhD. | | Onderwijsvorm | computer practica, hoorcolleges, werkcolleges | | Toetsvorm | opdracht(en), schriftelijk tentamen met 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)50 363 3685, e-mail: g.pol@rug.nl. |
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| 18 | Stochastic Programming | EBM853A05 |
Linear (mixed-integer) programming problems, of which some of the parameters are considered as unknown realizations of random variables, constitute the core of the course. The emphasis is on the various ways of (re-)formulating the problem, including the pros and cons of the concepts of risk and risk aversion. Model building is illustrated by means of both classroom examples and realistic models.
Special attention is paid to solution techniques such as large-scale LP, decomposition, convex programming, Monte Carlo simulation, and random search. Motivated by their important role in Stochastic Programming, theory and techniques from Non-Linear and Dynamic Programming are discussed.
Students are required to work out a take-home exercise and to write a paper on a case, with the aim of acquiring experience with modeling and computation based on the software package SLP-IOR. Also, participants will present the results of their case studies during the lectures and act as discussants for other presentations. |
| Faculteit | Economie en Bedrijfskunde | | Voertaal | Engels | | Coordinator | dr. W. Romeijnders | | Docent(en) | dr. W. Romeijnders | | Onderwijsvorm | opdracht(en), gecombineerde hoor-/werkcolleges | | Toetsvorm | opdracht(en), presentatie(s), schriftelijk tentamen met 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: Info: Dr Ward Romeijnders, phone: +31(0)50 36 38613.
Secr: Operations, phone: +31(0)50 36 37491, e-mail: secr.operations.feb@rug.nl. |
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| 19 | Supply Chain Optimization | EBM117A05 |
| This course deals with optimal forecasting and inventory control. It starts with analyzing order quantity and order level decisions for single item, single level inventory systems; then continues with multi-echelon and multi-item systems. Specific aspects such as perishability, lateral transshipments and sustainability will also be addressed. |
| Faculteit | Economie en Bedrijfskunde | | Voertaal | Engels | | Coordinator | prof. dr. R.H. Teunter | | Docent(en) | prof. dr. R.H. Teunter | | Onderwijsvorm | hoor- en werkcolleges, hoorcolleges, opdracht(en) | | Toetsvorm | opdracht(en), schriftelijk tentamen | | ECTS | 5 | | 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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