Cancelled Summer school 2022: Macroeconomic Risk Management (F)

Course content

Professional work in Finance often requires the assessment of macroeconomic risks. Thus, it is desirable to acquire tools for better understanding these risks, to what extent they can (or cannot) be addressed through public policies, and what hedging strategies are available.


Fortunately it is possible to carry most of this analysis with standard Finance tools. In this course we will integrate knowledge acquired in different areas (e.g. Corporate Finance, Financial Intermediation, Risk Management, and Behavioral Finance) to study the impact of macroeconomic risks.


We will start with an in depth analysis of the Great Recession that will show us how the financial system can amplify shocks. Then we will use Finance tools to study macroeconomic risk and their optimal and feasible management. We will then study two particular types of global risk: Of a global nuclear war, and global warming. Finally we will consider how fiscal and monetary policy smooth business cycles and how the social security system can redistribute intergenerational shocks, highlighting differences in how these risks can be managed in developed and developing countries.


MSc programme in Economics – elective course

Bacheloruddannelsen i økonomi – valgfag efter 3. år

The Danish BSc programme in Economics - elective course after the 3.year


The course is part of the Financial line at the MSc programme in Economics,   symbolized by ‘F’.

Learning outcome

After completing the course the student is expected to be able to:



  • Account for the basic concepts of several macroeconomic risks that affect business cycles.
  • Identify these risks and discuss the best way to address them
  • Discuss - in economic terms - the reasons and implications of these decisions.



  • Use finance tools, such as the Capital Asset Pricing Model or Value at Risk to analyze the financial aspects of these shocks.
  • Apply new tools such as the Long Run Risk Consumption Based Asset Pricing Model to study global macroeconomic risks.
  • Analyze how to deal with exposure to macroeconomic risk, where the concepts and methods of modern finance analysis are central



  • Apply the acquired knowledge and skills independently in later employment in either public or private institutions.
  • Master and implement relevant financial models and concepts in new and complex contexts.

Lectures, exercise classes and mandatory assignments.

Restrictions due to pandemic crisis:
The teaching in this course may be changed to be taught either fully or partly online due to a pandemic crisis like COVID-19. In case of changes and further information, please read the study messages in KUnet or the announcements in the course room on Absalon (for enrolled students).


  • Barth, J., R. Brumbaugh, and J. Wilcox, (2000) “Policy Watch: The Repeal of Glass-Steagal and the Advent of Broad Banking”, The Journal of Economic Perspectives, Vol 14(2), 191-204.
  • Greenspan A., (2010), “The  Crisis”, Brookings Papers on Economic Activity,
  • Swagel P., (2009) “The Financial Crisis: An Inside View”, Brookings Papers on Economic Activity,
  • Gertler, M., and S. Gilchrist, (2018), “What Happened: Financial Factors in the Great Recession”, Journal of Economic Perspectives, 32(3), 3-30.
  • Kiyotaki N. and J. Moore, (1997) “Credit Cycles”, Journal of Political Economy, Vol 105(2), 211- .
  • Fanelli S., and M. Gonzalez-Eiras, (2019), “Resolution of Financial Crises”, Working paper, University of Copenhagen.
  • Hall R., (2010), “Why Does the Economy Fall into Pieces after a Financial Crisis”, Journal of Economic Perspectives,
  • Bernanke, B., (2010), “Monetary Policy and the Housing Bubble”, Remarks at the Annual Meeting of the Americal Economic Association, January 4.
  • Geanakoplos J., (2010), “Solving the Present Crisis and Managing the Leverage Cycle”, Federal Reserve Bank of New York Economic Policy Review, Vol 16(1), 101-131.
  • Gorton G., y A. Metrick, (2011), “Securitized Banking and the Run on Repo”, Journal of Financial Economics.
  • Shleifer A., and R. Vishny, (2011), “Fire Sales in Finance and Macroeconomics”, Journal of Economic Perspectives, vol 25(1).
  • Hanson, Stein and Kashyap, (2010), “A Macroprudential Approach to Financial Regulation”, Journal of Economic Perspectives.
  • Brunnermeier M., (2010), “Should a Bank Tax be Used to Limit Financial Risk?” The Economist, June 7.
  • Shiller  R. “The New Financial Order”, Introductions, chapters 1-2.
  • Campbell J. and L. Viceira, (2002) “Strategic Asset Allocation”, Oxford University Press, chapters 1-3
  • Angeletos M. and L. Calvet, (2006) “Incomplete Markets, Growth and the Business Cycle”, Journal of Monetary Economics.
  • Athanasoulis S. and E. van Wincoop, (2000), “Growth, Uncertainty and Risk Sharing”, Journal of Monetary Economics, vol 45, 477-505.
  • Thaler R. and C. Sunstein, (2009), “Nudge”, Yale University Press, chapter 3.
  • Shiller R. , (2000), “Irrational Exuberance”, chapter 5.
  • Banerjee A., (1992), “A Simple Model of Herd Behavior”, Quarterly Journal of Economics, vol 107(3), 779-817
  • Caballero R., K. Cowan and J. Kearns, (2005) “Fear of Sudden Stops: Lessons from Australia and Chile”, Journal of Policy.
  • Akerloff G., and R. Shiller, (2009), “Animal Spirits”, Princeton University Press, chapters 6 and 11.
  • Lamont O., and J. Stein, (2009), “Investor Sentiment and Corporate Investment: Micro and Macro”, American Economic Review.
  • Reinhart C., and K. Rogoff, (2009), “This Time is Different”, chapters 1, 2, 4, 5, 12-15.
  • Calvo G., A. Izquierdo, and E. Talvi, (2006) “Phoenix Miracles”
  • Breeden D., (1979), “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities”, Journal of Financial Economics, Vol 7, 265-96.
  • Athanasoulis S and R. Shiller, (2001), “World Income Components: Measuring and Exploiting International Risk Sharing Opportunities”, American Economic Review,
  • Backus D., P. Kehoe, and F. Kydland, (1992), “International Real Business Cycle”, Journal of Political Economy, Vol 100, 745-775.
  • Shiller R., (1993), “Macro Markets”, Oxford University Press, chapters 4-5.
  • Brainard W., and F. Dolbear, (1971), “Social Risk in Financial Markets”, American Economic Review, Vol 61, 360-70.
  • Caballero R., and A. Krishnamurthy, (2004), “Smoothing Sudden Stops”, Journal of Economic Theory.
  • Talvi E., and C. Vegh, (2005), “Tax base variability and procyclical fiscal policy in developing countries” Journal of Development Economics, 56(1), 156-190.
  • Diamond P., (1997), “Macroeconomic Aspects of Social Security Reform”, Brookings Papers on Economic Activity.
  • Krueger D. and F. Kubler, (2006), “Pareto-improving social security reform when financial markets are incomplete?”, American Economic Review.
  • Gonzalez-Eiras M., and D. Niepelt, (2008), “The future of social security”, Journal of Monetary Economics.
  • D’Amato, and V. Galasso, (2011), “Political Intergenerational Risk Sharing”, Journal of Public Economics.
  • Gonzalez-Eiras M., Luo V., and D. Niepelt, (2019), “Annihilation Risk”, working paper, University of Copenhagen.
  • Engle III, R., Giglio S., Kelly B., Lee H., and J. Stroebel, (2019), “Hedging Climate Change News”, NBER working paper 25734.

The course requires knowledge equivalent to that achieved in Macroeconomics III and Microeconomics III from the Study of Economics, Copenhagen University, or similar.

The course requires knowledge equivalent to that achieved in "Econometrics I" and "Corporate Finance and Incentives" from the Study of Economics, University og Copenhagen or similar.

The summer school has been cancelled as the lecturer unfortunately has decided to resign by the end of this year.

Lectures: 4 hours every day from the 4th to 8th and 11th to 15th of July 2022.
Exercise classes: 3 days of each 3 hours in the afternoon in the first and second week.
Selfstudy in the third week until the exam.

Timetable and venue:
To see the time and location of lectures and exercise classes please press the link/links under "Timetable"/​​"Se skema" at the right side of this page (B5-5F22 equals the summer period).
You can find the similar information in English at
-Select Department: “2200-Økonomisk Institut” (and wait for respond)
-Select Module:: “2200-B5-5F22; [Name of course]””
-Select Report Type: "List - Week Days"
-Select Period: “Forår/Spring – Week 5-30”
Press: “ View Timetable”

Please be aware:
- The study administration allocates the students to the exercise classes according to the principles stated in the KUnet.
- It is not possible to change class after the second registration period has expired.
- The schedule of the lectures and the exercise classes can be changed without the participants´ acceptance. If this happens you can see the new schedule in your personal timetable at KUnet, in the app myUCPH and through the links in the right side and the link above.
- It is the students´s own responsibility continuously throughout the study to stay informed about their study, their teaching, their schedule, their exams etc. through the curriculum of the study programme, the study pages at KUnet, student messages, the course description, the Digital Exam portal, Absalon, the personal schema at KUnet and myUCPH app etc.



At the beginning of the lectures there will be a short quiz on a reading for that lecture. Quizzes will be evaluated and the students will receive individual written and collective oral feedback on the quizzes.

7,5 ECTS
Type of assessment
Written assignment, 24 hours
individual take-home exam.
It is not allowed to collaborate on the assignment with anyone.
The exam assignment is given in English and must be answered in English.
All aids allowed

for the written exam.

Information about allowed aids for the re-examination, please go to the section "Re-exam".


Marking scale
7-point grading scale
Censorship form
No external censorship
for the written exam.
An oral re-examination may be with external assessment.
Criteria for exam assessment

Students are assessed on the extent to which they master the learning outcome for the course.


In order to obtain the top grade “12”, the student must with no or only a few minor weaknesses be able to demonstrate an excellent performance displaying a high level of command of all aspects of the relevant material and can make use of the knowledge, skills and competencies listed in the learning outcomes.


In order to obtain the passing grade “02”, the student must in a satisfactory way be able to demonstrate a minimal acceptable level of  the knowledge, skills and competencies listed in the learning outcomes.

Single subject courses (day)

  • Category
  • Hours
  • Lectures
  • 42
  • Class Instruction
  • 9
  • Preparation
  • 131
  • Exam
  • 24
  • English
  • 206


Course number
7,5 ECTS
Programme level
Full Degree Master

1 block


Information about admission and tuition fee:  Summer schools 

Information om optagelse og evt betaling:  Åbent Universitet

Update per 17th november 2021: Unfortunately the summer school has been cancelled.

More info about
- teaching : Go to 'Remarks'
- exam: Go to 'Exam'
Department of Economics, Study Council
Contracting department
  • Department of Economics
Contracting faculty
  • Faculty of Social Sciences
Course Coordinator
  • Elisabeth Casas Casanova   (3-6967674469677372326f7932686f)
    Study administration

Lectures: The summer school has been cancelled.

Teacher of the exercise class:
Ex. class 1:

Please read "Remarks" regarding the schedule of the teaching.

Saved on the 18-11-2021

Are you BA- or KA-student?

Are you bachelor- or kandidat-student, then find the course in the course catalog for students:

Courseinformation of students