Institut für Risikomanagement und Versicherung
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[MBR] Finance, Insurance, and Risk Management Econometrics

Prof. Richard J. Butler, Ph.D.; Benjamin Heidler

Course Description

This course discusses methods used to make causal inference in finance, insurance, and risk management research. It is built around the ordinary least squares (OLS) regression model. As a mechanical device, OLS estimates correlations between variables. Economists, however, are generally interested in more than just correlations: for the type of questions FIRE researchers want addressed, causal inferences are needed. The first three lectures (FIRE1, FIRE2, and FIRE3) review the basic OLS model and the associated techniques commonly employed to get at causality in empirical relationships, using the OLS model. FIRE4 applies the basic techniques to the problem of estimating short-term vs. long-term recognition, using Witt and Mehr pattern of awards for research in the FIRE area. FIRE5 through FIRE24 review FIRE articles that use different approaches to retrieve causal estimates. It is expected that students will read the original articles discussed in each FIREXX section, along with the notes.

Organizational Issues

  • MBR course (B/I or B/II module), counts as 2 contact hours.
  • The course will be blocked from September 5 to September 8 and from September 12 to September 15, 2016.
  • Class location: Schackstr. 4/III, room 307 (Seminarraum)
  • Please find further information in the syllabus.

Schedule: First Week

DayDateTimeContent
Mon. Sept. 05 09:00am - 12:00noon FIRE 01 Introduction to regression
FIRE 02 The 5 assumptions
FIRE 03 Identifying causal relationships
Tue. Sept. 06 09:00am - 01:00pm FIRE 04 Paper Recognition over Time-Mehr vs. Witt
FIRE 05 Grabowski—Deregulation on Prices and Availability
FIRE 06 Viswanathan and Cummins, Ownership Changes
FIRE 07 Bartram et al. and Propensity Score Matching
Wed. Sept. 07 09:00am - 01:00pm FIRE 08 Shim on Business Concentration and Financial Stability
FIRE 10 Putting Temporality into Insurance and Risk
FIRE 11 Randomization and Friends
FIRE 12 Regression Discontinuity
Thu. Sept. 08 09:00am - 01:00pm FIRE 13 WC, Regression Discontinuity and Diff-in-Diff
FIRE 14 Traditional Panel Data Methods and Insurance
FIRE 15 Mutli-tooled approaches in Panel Data Sets
FIRE 16 Panel Data Sets continued
Fri. Sept. 09 - Break

Schedule: Second Week

DayDateTimeContent
Mon. Sept. 12 09:00am - 12:00noon FIRE 17 Dynamic Models in Panels
FIRE 19 Without Stability over Time, there is no Identification I
FIRE 20 Without Stability over Time, there is no Identification II
Tue. Sept. 13 09:00am - 01:00pm FIRE 21 Event Studies I
FIRE 22 Event Studies II
FIRE 23 Duration Modeling I, Cox Regressions
FIRE 24 Duration Modeling II, WC Claim Duration Modeling with Heterogenity
Wed. Sept. 14 - Break
Thu. Sept. 15 09:00am - 11:00am


11:30am - 01:00pm

Final Presentation 1
Final Presentation 2
Final Presentation 3

Risk & Microeconomics Seminar Presentation Richard Butler

Fri. Sept. 16 09:00am -
TBA
Final Presentation 4
Final Presentation 5
Final Presentation 6
Examination
  • This course is offered on a pass/fail basis. Grading will be based on daily quiz participation, and the presentation of an original empirical paper at the end of the course.

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