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Danish National Research Foundation Network in Mathematical Physics and Stochastics
Funded by The Danish National Research Foundation
Statistical Methods for Dynamical Stochastic Models
EU Research Training
Adept Scientific
The Technical Computing People

Concentrated Advanced Course on

Statistical Methods for Financial Risk Management

Main Lectures by

Alexander McNeil (ETH Zurich and RiskLab Zurich)

Further Lectures by:

Henrik Hult (Stockholm), Thomas Mikosch (Copenhagen), Catalin Starica (Chalmers University Gothenburg), Murad Taqqu (Boston)

Monday, May 26, 2003 - Friday, May 30, 2003

University of Copenhagen,

The Concentrated Advanced Course will be given at the Institute of Mathematical Sciences, University of Copenhagen, HC Ørsted Institute, Auditorium 4. See the Infomation below how to get to the Institute. There will be 6 hours of lectures per day, 4 given by Alexander McNeil. The course is organized by Søren Asmussen (University of Aarhus), Jeff Collamore (University of Copenhagen), Martin Jacobsen (University of Copenhagen), Thomas Mikosch (University of Copenhagen) and Michael Sørensen (University of Copenhagen)

Description of Alexander McNeil's course

Quantitative methodology is an increasingly important component of risk management in financial institutions. Financial risk management presents an extremely interesting area of application for statistics with many new challenges. Whereas much of traditional statistics concerns the average, the normal and the expected, risk management has more to do with the extreme, the abnormal and the unexpected. Central technical issues will be modelling the volatility of financial return time series, modelling extreme values and modelling dependent risks. We will  examine methods relevant for both market and credit risk management.

  1. The Basics of Quantitative Risk Management
  2. Standard Statistical Methods
  3. Fundamentals of Modelling Dependent Risks
  4. Modelling Financial Time Series
  5. Basic Topics in Extreme Value Theory
  6. Advanced Topics in EVT and Time Series
  7. Copulas, Correlation and Dependent Extreme Values
  8. Multivariate Models: Calibration and Simulation
  9. Portfolio Credit Risk: Models
  10. Portfolio Credit Risk: Calibration and Model Risk
  11. Advanced Multivariate Market Risk Models

The following distinguished researchers have agreed to give supplementary lectures on topics related to finance, risk, insurance mathematics, extremes: Henrik Hult (Stockholm), Thomas Mikosch (University of Copenhagen), Catalin Starica (Chalmers University Gothenburg), Murad Taqqu (Boston)

  • Lectures by Catalin Starica
  • Lectures by Thomas Mikosch: Multivariate regular variation and the GARCH model
  • Lecture by Henrik Hult: Multivariate regular variation for processes with independent increments
  • Lectures by Murad Taqqu:
  • The Concentrated Advanced Course aims at the graduate student in probability theory, statistics, finance, economics, insurance mathematics and the researcher who wants to get an overview of methods and techniques on modeling, as well as on practitioners from the insurance industry, banks and regulatory authorities.

    The course will be accessible for Masters students with a background in statistics and extreme value theory. The interested Masters student can receive 2.5 ECTS for participation in the course and work on a 2-3 day project which consists of a practical piece of data analysis with S-Plus or R, such as fitting a bunch of GARCH models to financial data, or doing some practical extreme value theory or copula fitting. In order to do this, the participants should have access to S-Plus and the S+FinMetrics module. This can be arranged for the period of the course.


    Adept Scientific and Alexander McNeil will give a presentation of their software products (S+FinMetrics,...).

    It is preferable if all participants will bring a laptop.

    Monday, May 26: Introduction to Risk Management and Financial Time Series

    09.30-10.15 Registration and Coffee

    10.15-11.00 McNeil: Basics of Quantitative Risk Management

    11.15-12.00 McNeil: Standard Methods for Risk Management

    12.00-14.00 Lunch Break

    14.00-14.45 Henrik Hult: Multivariate regular variation for processes with independent increments

    14.45-15.15 Coffee

    15.15-16.00 McNeil: Financial Time Series

    16.15-17.00 Knudsen + McNeil: Short Introduction to S-Plus/Insightful products + first hands-on experience with S-Plus and S+Finmetrics

    Tuesday, May 27: Extreme Values in Financial Time Series

    09.15-10.00 McNeil: Basics of EVT

    10.15-11.00 McNeil: The POT Method and Tails of Loss distributions

    11.00-11.30 Coffee

    11.30-12.15 Starica: Risk-return dynamics in stock indexes

    12.15-14.00 Lunch Break

    14.00-14.45 Taqqu: An introduction to stable processes

    14.45-15.15 Coffee

    15.15-16.00 McNeil: EVT and Financial Applications

    16.15-17.00 McNeil: Practical Session: - Financial Time Series + EVT

    Wednesday, May 28: Multivariate Models and Copulas

    09.15-10.00 McNeil: Basic Multivariate Models

    10.15-11.00 McNeil: Copulas and Extremal Dependence

    11.00-11.30 Coffee

    11.30-12.15 Taqqu: Local contagion in financial markets

    12.15-14.00 Lunch Break

    14.00-14.45 Starica: Multivariate dynamics of stock returns

    14.45-15.15 Coffee

    15.15-16.00 McNeil: Fitting Copulas to Data

    16.15-17.00 McNeil: Practical Session: Copulas in S+Finmetrics

    Thursday, May 29: Credit Risk

    09.15-10.00 McNeil: Introduction to Portfolio Credit Risk Models

    10.15-11.00 McNeil: Modelling Dependent Defaults Credit Risk Models

    11.00-11.30 Coffee

    11.30-12.15 Mikosch: Multivariate extremes and multivariate regular variation

    12.15-14.00 Lunch Break

    14.00-14.45 Mikosch: Extremes in financial time series

    14.45-15.15 Coffee

    15.15-16.00 McNeil: Practical Issues in Credit Risk

    16.15-17.00 McNeil: Practical Session - Modelling Default Data

    Friday, May 30: Multivariate Dynamic Models for Market Risk

    09.15-10.00 McNeil: Multivariate Financial Time Series I

    10.15-11.00 McNeil: Multivariate Financial Time Series II

    11.00-11.30 Coffee

    11.30-12.15 McNeil: Practical Session - Multivariate Time Series Models in S-Plus

    12.15 Closing and Lunch Break


    There will be a regular registration fee of 500 DKK for all participants, except Masters students, and the participants are expected to have their expenses covered by their home institutions or from other sources.

    The course will also be open to participants from the financial, insurance and other industries at an additional fee. For those participants, the regular fee of 500 DKK and the additonal fee will be charged by Adept Scientific. Please register via Adept Scientific if you work in industry and are interested in attending this course.

    Masters students pay a fee of 100 DKK. This fee does not include lunches.

    Please register via the registration form at your earliest convenience before May 20, 2003.

    The programme of the Course will be on the web after May 20.

    The Course starts on Monday, 26 May, 10 a.m. and finishes on Friday, 30 May, 12 a.m.

    More Information

    We have a page with information on how to get to the HC Ørsteds Institute, where the Course will be given.

    Do not hesitate to contact the MaPhySto secretariat (maphysto@maphysto.dk), the secretaries of the Laboratory of Actuarial Mathematics (Actuarial@act.ku.dk) or the local organizers Thomas Mikosch (mikosch@math.ku.dk) and Jeff Collamore (collamore@math.ku.dk) for more information.

    This document was last modified April 29, 2003. Questions or comments to the contents of this document should be directed to Actuarial@act.ku.dk.