MVE220 / MSA400 Financial risk Spring 21
This page contains the program of the course. Other information, such as learning outcomes, teachers, literature and examination, are in a separate course PM.
Program
The schedule of the course is in TimeEdit.
Link and password to Zoom for Helga's excercise sessions:
https://chalmers.zoom.us/j/65386937047 (link to an external page.)
Password: 271018
Link and password to Zoom for Holger's lectures, and to the reading project presentations:
https://chalmers.zoom.us/j/67787826364
Password: 009698
Use Slack for talking with us. However project reports should be sent to hrootzen@chalmers.se
Lectures
| Day | Sections | Content |
|---|---|---|
| Monday 22/3, 10-12 |
Introduction, form groups, choose projects, Zoom meeting 11:30-12, please join |
|
| Tuesday 23/3, 13-15 |
Extreme value statistics, block maxima method Zoom meeting 14:30-15, please join |
|
| Thursday 25/3, 15:15-17 | Exercise session: Repetition of basic statistics | |
| Monday 12/4, 10-12 |
Peaks over Thresholds models, ML-estimation Course representatives meeting at 11 Zoom meeting 11:30-12, please join |
|
| Tuesday 13/4, 13:15-15 | Exercise session: Extreme risks | |
| Thursday 15/4, 15-17 |
Catastrophe insurance, Dependent extremes, estimation of Value at Risk Zoom meeting 16:30-17 |
|
| Monday 19/4, 10-12 | First hour: Extreme risks, wrap up Second hour: Exercise session on Extreme risks |
|
| Tuesday 20/4, 13-15 |
Credit Risk 1 Zoom meeting 14:30-15 |
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| Thursday 22/4, 15:15-17 | Exercise session: Credit risk | |
| Monday 26/4, 10-12 |
Credit risk 2 Zoom meeting 11:30-12 |
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| Tuesday 27/4, 13:15-15 | Exercise session: Credit risk | |
| Thursday 29/4, 15-17 | Reading project presentations |
2. Bernie Madoff (discussants group 14) 3. Bitcoin (discussants group 13) |
| Monday 3/5, 10-12 | Technical project 1 question hours | |
| Tuesday 4/5, 13-15 | Reading project presentations |
4. dotcom bubble (discussants group 12) 6. Gamestop (discussants group 10) 7. Gamestop project (discussants group 9) |
| Monday 10/5 | Deadline Technical Project 1 | |
| Thursday 6/5, 15-17 | Reading project presentations |
5. Energy (discussants group 11) 8. High frequency trading (discussants group 6 ) |
| Monday 10/5, 10-12 | Reading project presentations |
9. Klarna (discussants group 5 ) 10. Kreuger crash (discussants group 8) 11. Money laundering (discussants group 7)
|
| Tuesday 11/5, 13-15 | Reading project presentations |
12 Climate change and financial risk (discussants group 4) 13. Should banks be allowed to go into bankruptcy (discussants group 15)
|
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Monday 17/5, 10-12
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Reading project presentations |
14. Greece crisis (discussants group 2) 15. The 2009 great recession (discussants group 3) |
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Tuesday 18/5 13:15-15 |
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| Thursday 20/5 15-17 |
Credit risk wrap up Voting for cinema tickets |
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| Saturday 29/5 | Technical project 2 and individual fortunetelling deadlines | |
| Monday 24/5, 10:15-12 | Question hours |
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| Monday 31/5, 14:00-18:00 | Home exam |
Recommended exercises
| Day | Exercises |
|---|---|
| Thursday 25/3, 15:15-17 | |
| Tuesday 13/4, 13:15-15 |
4,7,9,13,14 from Exercises_MVE220_MSA400_2021.pdf |
| Monday 19/4, 11-12 |
1,2,3,5,8,10,11,17,18 from Exercises_MVE220_MSA400_2021.pdf
|
| Thursday 22/4, 15:15-17 |
Exercises 1-10 from Static credit portfolio models |
| Tuesday 27/4, 13:15-15 |
Exercises 11-20 from Static credit portfolio models |
Computer labs
Reference literature:
- Learning MATLAB, Tobin A. Driscoll. Provides a brief introduction to Matlab to the one who already knows computer programming. Available as e-book from Chalmers library.
- Physical Modeling in MATLAB 3/E, Allen B. Downey
The book is free to download from the web. The book gives an introduction for those who have not programmed before. It covers basic MATLAB programming with a focus on modeling and simulation of physical systems.
Kurssammanfattning:
| Datum | Information | Sista inlämningsdatum |
|---|---|---|