MVE220 / MSA400 Financial risk
This page contains the program of the course. Further information is given in a separate course PM. The schedule of the course is also in TimeEdit.
The course will consist of real life lectures lectures and exercise sessions. They will not be streamed or recorded.
For those of you who prefer online, or who want to mix real and online, we have kept last years online version of the course in this years Canvas pages. It consists of videos and PowerPoint slides accompanied by sound clips. This online material may be somewhat changed and improved as the course goes on.
Hook up to Slack using this link: https://join.slack.com/t/fr22workspace/shared_invite/zt-157i7md07-vEtsBqsuRCEy9uwRnNmI5A
Use Slack and/or personal meetings for talking with us. However project reports should be sent to hrootzen@chalmers.se and to hrootzen.chalmers@analys.urkund.se
Lectures
| Day | Sections | Content |
|---|---|---|
|
Monday 21/3, 10:15-12 Pascal |
Introduction, form groups, choose projects,
|
|
|
Tuesday 22/3, 13:15-15 Euler |
Extreme value statistics, block maxima method
|
|
| Thursday 24/3, 15:10-16:55 Euler | Exercise session: Repetition of basic statistics | |
|
Monday 28/3, 10:15-12 Pascal |
Peaks over Thresholds models, ML-estimation
|
|
|
Tuesday 29/3, 13:15-15 Euler |
Exercise session: Extreme risks | |
| Thursday 31/3, 15:10-16:55 Euler |
Catastrophe insurance, Dependent extremes, estimation of Value at Risk
|
|
|
Monday 4/4, 10:15-12 Pascal |
First hour: Exercise session on Extreme risks Second hour: Extreme risks, wrap up |
|
|
Tuesday 5/4, 13:15-15 Euler |
Credit Risk 1
|
|
|
Thursday 7/4, 15:10-16:55 Euler |
Exercise session: Credit risk | |
| Monday 25/4, 10:15-12 Pascal |
Credit risk 2
|
|
| Tuesday 26/4, 13:15-15 Euler | Exercise session: Credit risk | |
| Thursday 28/4, 15:10-16:55 Euler | Reading project presentations |
The Evergrande-crisis (discussants group 42) pdf Solvency 2 (discussants group 17) pdf |
| Monday 2/5, 10:15-12 Pascal | Credit risk 3 and Technical project 1 question hour |
10:15-11:10 Credit risk3 11:20-12 Tp 1 question hour |
| Tuesday 3/5, 13:15-15 Euler | Reading project presentations |
Money laundering and AML (discussants group 4) pdf Dot.com bubble (discussants group 7) pdf Tulip mania (discussants group 10) pdf
|
|
Thursday 5/5, 15:10-16:55 Euler |
Reading project presentations |
Bitcoin (discussants group 2) pdf Lehman Brothers (discussants group 1) pdf Theranos (discussants group 0) pdf |
|
Monday 9/5, 10:15-12 Pascal |
No lecture |
|
|
Tuesday10/5 13:15-15 Euler |
No lecture |
|
|
Tuesday10/5 |
Deadline Technical Project 1 |
|
|
Thursday 12/5, 15:10-16:55 Euler
|
Reading project presentations |
High-frequency trading (discussants group 12) pdf The Japanese asset price bubble 86-91 (discussants group 25) pdf
|
|
Monday 16/5 10:15-12 Pascal |
Reading project presentation and Technical project 2 question hour |
Long term capital management (discussants group 8) pdf 10:45 - 12:00 TP 2 question hour |
|
Tuesday 17/5 13:15-15 Euler |
After 2009 great recession, should banks be allowed to go into Bankruptcy? (discussants group 3) pdf The 2009 great recession (discussants group 6) pdf ESG and risk (discussants group 5) pdf |
|
|
Thursday 19/5, 15:10-16:55 Euler |
Credit risk wrap up Voting for cinema tickets Question time for Technical project 2 |
Voting and question time will start at 16:05 |
| Monday 23/5 | Technical project 2 and individual fortunetelling deadlines | |
| Monday 23/5 10:15-12 | Question hours | |
| Tuesday 24/5 13:15-15 | Reserve | |
|
Monday 30/5 14-18 |
Exam |
Recommended exercises
| Day | Exercises |
|---|---|
| Thursday 24/3, 15:10-16:55 | |
| Tuesday 29/3, 13:15-15 |
4,7,9,13,14 from Exercises_MVE220_MSA400_2022.pdf |
| Monday 4/4, 10:15-11 |
1,2,3,5,8,10,11,17,18 from Exercises_MVE220_MSA400_2022.pdf Video and solutions (from 2021)
|
| Thursday 7/4, 15:10-16:55 |
Exercises 1-10 from Static credit portfolio models |
| Tuesday 26/4, 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 |
|---|---|---|