## Antoine Bommier: Catalogue data in Spring Semester 2020 |

Name | Prof. Dr. Antoine Bommier |

Field | Integrative Risk Management and Economics |

Address | Integratives Risikomanag. und Ök. ETH Zürich, SEC E 7 Scheuchzerstrasse 7 8092 Zürich SWITZERLAND |

Telephone | +41 44 632 38 10 |

abommier@ethz.ch | |

Department | Management, Technology, and Economics |

Relationship | Full Professor |

Number | Title | ECTS | Hours | Lecturers | |
---|---|---|---|---|---|

363-0515-00L | Decisions and Markets | 3 credits | 2V | A. Bommier | |

Abstract | This course provides an introduction to microeconomics. The course is open to students who have completed an undergraduate course in economics principles and an undergraduate course in multivariate calculus. The course emphasizes the conceptual foundations of microeconomics and contains concrete examples of their application. | ||||

Objective | The purpose of this course is to provide master students with an introduction to graduate-level microeconomics, particularly for students considering further graduate work in economics, business administration or management science. The course provides the fundamental concepts and tools for graduate courses in economics offered at ETH and UZH. After completing this course: - Students will be able to understand and use existing models to make predictions of consumer and firm behavior. - Students understand the fundamental welfare theorems and will be able to analyze equilibria of markets with perfect and imperfect competition. - Students will be able to analyze under which conditions market allocations are not efficient (market failure). | ||||

Content | Microeconomics is the branch of economics which studies the decision-making by an individual, household, firm, industry or level of government. The economic equilibrium is the result of agents' interactions. Microeconomics is an element of nearly every subfield in economic analysis today. This course introduces the fundamental frameworks which form the basis of many economic models. Theory of the consumer: - Consumer preferences and utility - Budget sets and optimal choice - Demand functions - Labor supply and intertemporal choice - Welfare economics Theory of the producer: - Technological constraints and the production function - Cost minimization - Profit maximization Market structure: - Perfectly competitive markets - Monopoly behavior - Duopoly behavior General equilibrium analysis: - Market equilibrium in an exchange and production economy - Market failure | ||||

Lecture notes | The lecture will be based on lecture slides, which will be made available on Moodle. | ||||

Literature | The course is mostly based on the textbook by R. Serrano and A. Feldman: "A Short Course in Intermediate Microeconomics with Calculus" (Cambridge University Press, 2013). Another textbook of interest is "Intermediate Microeconomics: A Modern Approach" by H. Varian (Norton, 2014). Exercises are available in the textbook by R. Serrano and A. Feldman ("A Short Course in Intermediate Microeconomics with Calculus", Cambridge University Press, 2013). More exercises can be found in the book "Workouts in Intermediate Microeconomics" by T. Bergstrom and H. Varian (Norton, 2010). | ||||

363-1000-00L | Financial Economics | 3 credits | 2V | A. Bommier | |

Abstract | This is a theoretical course on the economics of financial decision making, at the crossroads between Microeconomics and Finance. It discusses portfolio choice theory, risk sharing, market equilibrium and asset pricing. | ||||

Objective | The objective is to make students familiar with the economics of financial decision making and develop their intuition regarding the determination of asset prices, the notions of optimal risk sharing. However this is not a practical formation for traders. Moreover, the lecture doesn't cover topics such as market irrationality or systemic risk. After completing this course: 1. Students will be familiar with the economics of financial decision making and develop their intuition regarding the determination of asset prices; 2. Students will understand the intuition of market equilibrium. They will be able to solve the market equilibrium in a simple model and derive the prices of assets. 3. Students will be familiar with the representation of attitudes towards risk. They will be able to explain how risk, wealth and agents’ preferences affect the demand for assets. 4. Students will understand the notion of risk diversification. 5. Students will understand the notion of optimal risk sharing. | ||||

Content | The following topics will be discussed: 1. Introduction to financial assets: The first lecture provides an overview of most common financial assets. We will also discuss the formation of asset prices and the role of markets in the valuation of these assets. 2. Option valuation: this lecture focuses on options, which are a certain type of financial asset. You will learn about arbitrage, which is a key notion to understand the valuation of options. This lecture will give you the intuition of the mechanisms underlying the pricing of assets in more general settings. 3. Introduction to the economic analysis of asset markets: this chapter will familiarize you with the notion of market equilibrium and the role it plays concerning asset pricing. Relying on economic theory, we will consider the properties of the market equilibrium: In which cases does the equilibrium exist? Is it optimal? How does it depend on individual’s wealth and preferences? The concepts defined in this chapter are essential to understand the following parts of the course. 4. A simplified approach to asset markets: based on the notions introduced in the previous lectures, you will learn about the key concepts necessary to understand financial markets, such as market completeness and the no-arbitrage theorem. 5. Choice under uncertainty: this class covers fundamental concepts concerning agents’ decisions when facing risk. These models are crucial to understand how the demand for financial assets originates. 6. Demand for risk: Building up on the previous chapters, we will study portfolio choice in a simplified setting. We will discuss how asset demand varies with risk, agent’s preferences and wealth. 7. Asset prices in a simplified context: We will focus on the portfolio choices of an investor, in a particular setting called mean-variance analysis. The mean-variance analysis will be a first step to introduce the notion of risk diversification, which is essential in finance. 8. Risk sharing and insurance: in this lecture, you will understand that risk can be shared among different agents and how, under certain conditions, this sharing can be optimal. You will learn about the distinction between individual idiosyncratic risk and macroeconomic risk. 9. Risk sharing and asset prices in a market equilibrium: this course builds up on previous lessons and presents the consumption-based Capital Asset Pricing Model (CAPM). The focus will be on how consumption, assets and prices are determined in equilibrium. | ||||

Literature | Main reading material: - "Investments", by Z. Bodie, A. Kane and A. Marcus, for the introductory part of the course (see chapters 20 and 21 in particular). - "Finance and the Economics of Uncertainty" by G. Demange and G. Laroque, Blackwell, 2006. - "The Economics of Risk and Time", by C. Gollier, MIT Press, 2001. Other readings: - "Intermediate Financial Theory" by J.-P. Danthine and J.B. Donaldson. - Ingersoll, J., E., Theory of Financial Decision Making, Rowman and Littlefield Publishers. - Leroy S and J. Werner, Principles of Financial Economics, Cambridge University Press, 2001 | ||||

Prerequisites / Notice | Basic mathematical skills needed (calculus, linear algebra, convex analysis). Students must be able to solve simple optimization problems (e.g. Lagrangian methods). Some knowledge in microeconomics would help but is not compulsory. The bases will be covered in class. | ||||

363-1100-00L | Risk Case Study Challenge Does not take place this semester. | 3 credits | 2S | A. Bommier, S. Feuerriegel | |

Abstract | This seminar provides master students at ETH with the challenging opportunity of working on a real risk modelling and risk management case in close collaboration with a Risk Center Partner Company. For the Spring 2019 Edition the Partner will be Zurich Insurance Group. | ||||

Objective | Students work on a real risk-related case of a business relevant topic provided by experts from Risk Center partners. While gaining substantial insights into the risk modeling and management of the industry, students explore the case or problem on their own, working in teams, and develop possible solutions. The cases allow students to use logical problem solving skills with emphasis on evidence and application and involve the integration of scientific knowledge. Typically, the risk-related cases can be complex, cover ambiguities, and may be addressed in more than one way. During the seminar students visit the partners’ headquarters, conduct interviews with members of the management team as well as internal and external experts, and present their results. | ||||

Content | Get a basic understanding of o The insurance and reinsurance business o Risk management and risk modelling o The role of operational risk management Get in contact with industry experts and conduct interviews on the topic. Conduct a small empirical study and present findings to the company | ||||

Prerequisites / Notice | Please apply for this course via the official website (www.riskcenter.ethz.ch/education/lectures/risk-case-study-challenge-.html). Apply no later than February 15, 2019. The number of participants is limited to 14. | ||||

364-0531-00L | CER-ETH Research Seminar | 0 credits | 2S | H. Gersbach, A. Bommier, L. Bretschger | |

Abstract | Research Seminar of Center of Economic Research CER-ETH | ||||

Objective | Survey of the currently leading research in economics, especially in the CER-ETH research fields. | ||||

Content | Presentations of current and recent research results in the CER-ETH research fields, usually by international guest speakers. | ||||

Prerequisites / Notice | Please note the special announcements. | ||||

364-1058-00L | Risk Center Seminar Series | 0 credits | 2S | A. Bommier, D. Basin, D. N. Bresch, L.‑E. Cederman, P. Cheridito, H. Gersbach, G. Sansavini, F. Schweitzer, D. Sornette, B. Stojadinovic, B. Sudret, U. A. Weidmann, S. Wiemer, M. Zeilinger, R. Zenklusen | |

Abstract | This course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling and governing complex socio-economic systems, and managing risks and crises. Students and other guests are welcome. | ||||

Objective | Participants should learn to get an overview of the state of the art in the field, to present it in a well understandable way to an interdisciplinary scientific audience, to develop novel mathematical models and approaches for open problems, to analyze them with computers or other means, and to defend their results in response to critical questions. In essence, participants should improve their scientific skills and learn to work scientifically on an internationally competitive level. | ||||

Content | This course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling complex socio-economic systems and crises. For details of the program see the webpage of the seminar. Students and other guests are welcome. | ||||

Lecture notes | There is no script, but the sessions will be recorded and be made available. Transparencies of the presentations may be put on the course webpage. | ||||

Literature | Literature will be provided by the speakers in their respective presentations. | ||||

Prerequisites / Notice | Participants should have relatively good scientific, in particular mathematical skills and some experience of how scientific work is performed. |