MVE220 / MSA400 Financial risk

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,
data driven risk management

 

coursplanvideo.mp4

courseplan21-22.pdf

ethics2018.pdf

Readingprojectinfo.pdf

reportwriting.pdf 

lecture1.pdf 

lecture1sc-pages1-6.m4a

Lecture1sc-pages7-11.m4a

Tuesday 22/3, 13:15-15

Euler

Extreme value statistics, block maxima method

 

Lecture1sc-pages12-14.m4a

lecture1excercise.mp4

Lecture1sc-pages15-19.m4a

Thursday 24/3, 15:10-16:55 Euler Exercise session: Repetition of basic statistics

RepetitionStatistics2022.pdf

RepetitionStatistics2022_slides.pdf

Video and solutions (from 2021)

Monday 28/3, 10:15-12

Pascal

Peaks over Thresholds models, ML-estimation

 

 

lecture2.pdf

Lecture2sc-pages2-3.m4a

Lecture2sc-pages4-5.m4a

lecture2-excercise-page5.mp4

Lecture2sc-pages6-8.m4a

lecture3.pdf

Lecture3sc-pages2-4.m4a

Lecture3sc-pages5-6.m4a

Lecture3sc-pages7-9.m4a

Lecture3sc-pages9-12.m4a

Lecture3sc-pages13-16.m4a

Tuesday 29/3, 13:15-15

Euler

Exercise session: Extreme risks

Exercises_MVE220_MSA400_2022.pdf

Video and solutions (from 2021)

Thursday 31/3, 15:10-16:55 Euler

Catastrophe insurance, Dependent extremes,  estimation of Value at Risk

 

Lecture3sc-pages17-24.m4a

lecture4.pdf

Lecture4sc-pages2-4.m4a

Lecture4sc-pages5-14.m4a

Monday 4/4, 10:15-12

Pascal

First hour:

Exercise session on Extreme risks

Second hour:

Extreme risks, wrap up
 

Lecture5.pdf

Lecture5sc-pages2-6.m4a

Lecture5sc-pages7-11.m4a

Lecture5sc-pages12-13.m4a

Exercises_MVE220_MSA400_2022.pdf

Video and solutions to exercise session (from 2021)

Tuesday 5/4, 13:15-15

Euler

Credit Risk 1

 

Lecture6.pdf

Lecture6sc-pages2-8.m4a

Lecture6sc-pages9-13.m4a

Lecture6sc-pages14-15.m4a

Lecture6sc-pages16-20.m4a

Lecture6sc-pages21-25.m4a

Lecture7.pdf

Lecture7sc-pages2-17.m4a

Thursday 7/4, 15:10-16:55

Euler

Exercise session: Credit risk

Exercises_creditrisk_MVE220_MSA400_2022.pdf

Video and solutions (from 2021)

Monday 25/4, 10:15-12 Pascal

Credit risk 2

 

Lecture7sc-pages20-24.m4a

Lecture7sc-pages25-28.m4a

 

Tuesday 26/4, 13:15-15 Euler Exercise session: Credit risk

Video and solutions (from 2021)

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

Lecture8.pdf

Lecture8sc-pages2-9.m4a

Lecture8sc-pages10-11.m4a

Lecture8sc-pages12-20.m4a

Lecture8sc-pages21-30.m4a

Lecture8sc-pages31-32.m4a

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

Lecture9.pdf

Lecture9sc-pages2-5.m4a

Lecture9sc-@pages6-11.m4a

 

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

 

Back to the top

Recommended exercises

Day Exercises
Thursday 24/3, 15:10-16:55

RepetitionStatistics2022.pdf

Video and solutions (from 2021)

Tuesday 29/3, 13:15-15

4,7,9,13,14 from Exercises_MVE220_MSA400_2022.pdf

Video and solutions (from 2021)

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

Exercises_creditrisk_MVE220_MSA400_2022.pdf

Video and solutions (from 2021)

Tuesday 26/4, 13:15-15

Exercises 11-20 from Static credit portfolio models

Video and solutions (from 2021)

 

Back to the top

Computer labs

 

Reference literature:

  1. 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.
  2. 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.

 

Back to the top

Kurssammanfattning:

Datum Information Sista inlämningsdatum