MVE220 / MSA400 Financial risk

Hoppa fram till i dag

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 Links to an external site..

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 Links to an external site.

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 Download coursplanvideo.mp4Play media comment.

courseplan21-22.pdf Download courseplan21-22.pdf

Download ethics2018.pdf

Download Readingprojectinfo.pdf

reportwriting.pdf Download reportwriting.pdf 

lecture1.pdf Download lecture1.pdf 

lecture1sc-pages1-6.m4a Download lecture1sc-pages1-6.m4a

Lecture1sc-pages7-11.m4a Download Lecture1sc-pages7-11.m4a

Tuesday 22/3, 13:15-15

Euler

Extreme value statistics, block maxima method

 

Lecture1sc-pages12-14.m4a Download Lecture1sc-pages12-14.m4a

lecture1excercise.mp4 Download lecture1excercise.mp4Play media comment.

Lecture1sc-pages15-19.m4a Download Lecture1sc-pages15-19.m4a
Thursday 24/3, 15:10-16:55 Euler Exercise session: Repetition of basic statistics

RepetitionStatistics2022.pdf Download RepetitionStatistics2022.pdf

RepetitionStatistics2022_slides.pdf Download RepetitionStatistics2022_slides.pdf

Video and solutions (from 2021)

Monday 28/3, 10:15-12

Pascal

Peaks over Thresholds models, ML-estimation

 

 

Download lecture2.pdf

Lecture2sc-pages2-3.m4a Download Lecture2sc-pages2-3.m4a

Lecture2sc-pages4-5.m4a Download Lecture2sc-pages4-5.m4a

lecture2-excercise-page5.mp4 Download lecture2-excercise-page5.mp4Play media comment.

Lecture2sc-pages6-8.m4a Download Lecture2sc-pages6-8.m4a

Download lecture3.pdf

Lecture3sc-pages2-4.m4a Download Lecture3sc-pages2-4.m4a

Lecture3sc-pages5-6.m4a Download Lecture3sc-pages5-6.m4a

Lecture3sc-pages7-9.m4a Download Lecture3sc-pages7-9.m4a

Lecture3sc-pages9-12.m4a Download Lecture3sc-pages9-12.m4a

Lecture3sc-pages13-16.m4a Download Lecture3sc-pages13-16.m4a

Tuesday 29/3, 13:15-15

Euler

 Exercise session: Extreme risks

Exercises_MVE220_MSA400_2022.pdf Download 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 Download Lecture3sc-pages17-24.m4a

Download lecture4.pdf

Lecture4sc-pages2-4.m4a Download Lecture4sc-pages2-4.m4a

Lecture4sc-pages5-14.m4a Download Lecture4sc-pages5-14.m4a

Monday 4/4, 10:15-12

Pascal

First hour:

Exercise session on Extreme risks

Second hour:

Extreme risks, wrap up
 

Download Lecture5.pdf

Lecture5sc-pages2-6.m4a Download Lecture5sc-pages2-6.m4a

Lecture5sc-pages7-11.m4a Download Lecture5sc-pages7-11.m4a

Lecture5sc-pages12-13.m4a Download Lecture5sc-pages12-13.m4a

Exercises_MVE220_MSA400_2022.pdf Download Exercises_MVE220_MSA400_2022.pdf

Video and solutions to exercise session (from 2021)

Tuesday 5/4, 13:15-15

Euler

Credit Risk 1

 

Download Lecture6.pdf

Lecture6sc-pages2-8.m4a Download Lecture6sc-pages2-8.m4a

Lecture6sc-pages9-13.m4a Download Lecture6sc-pages9-13.m4a

Lecture6sc-pages14-15.m4a Download Lecture6sc-pages14-15.m4a

Lecture6sc-pages16-20.m4a Download Lecture6sc-pages16-20.m4a

Lecture6sc-pages21-25.m4a Download Lecture6sc-pages21-25.m4a

Download Lecture7.pdf

Lecture7sc-pages2-17.m4a Download Lecture7sc-pages2-17.m4a

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

Euler

 Exercise session: Credit risk

Exercises_creditrisk_MVE220_MSA400_2022.pdf Download 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 Download Lecture7sc-pages20-24.m4a

Lecture7sc-pages25-28.m4a Download 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 Download pdf

Solvency 2 (discussants group 17) pdf Download pdf
Monday 2/5, 10:15-12 Pascal Credit risk 3 and Technical project 1 question hour

10:15-11:10 Credit risk3

Download Lecture8.pdf

Lecture8sc-pages2-9.m4a Download Lecture8sc-pages2-9.m4a

Lecture8sc-pages10-11.m4a Download Lecture8sc-pages10-11.m4a

Lecture8sc-pages12-20.m4a Download Lecture8sc-pages12-20.m4a

Lecture8sc-pages21-30.m4a Download Lecture8sc-pages21-30.m4a

Lecture8sc-pages31-32.m4a Download 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 Download pdf

Dot.com bubble (discussants group 7) pdf Download pdf

Tulip mania (discussants group 10) pdf Download pdf

 

Thursday 5/5, 15:10-16:55

Euler

 Reading project presentations

Bitcoin (discussants group 2) pdf Download pdf

Lehman Brothers (discussants group 1) pdf Download pdf

Theranos (discussants group 0) pdf Download pdf

Monday 9/5, 10:15-12

Pascal

 No lecture

 

 

 

Links to an external site.

Tuesday10/5 13:15-15 Euler

 No lecture

 

Tuesday10/5

 Deadline Technical Project 1

 

 

Links to an external site.

Thursday 12/5, 15:10-16:55 Euler

 

 Reading project presentations

High-frequency trading (discussants group 12) pdf Download pdf

The Japanese asset price bubble 86-91 (discussants group 25) pdf Download 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 Download 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 Download pdf

The 2009 great recession (discussants group 6) pdf Download pdf

ESG and risk (discussants group 5) pdf Download pdf

Thursday 19/5, 15:10-16:55

Euler

Credit risk wrap up

Voting for cinema tickets

Question time for Technical project 2

Download Lecture9.pdf

Lecture9sc-pages2-5.m4a Download Lecture9sc-pages2-5.m4a

Lecture9sc-@pages6-11.m4a Download 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 Links to an external site.
Tuesday 24/5 13:15-15 Reserve

Monday 30/5 14-18

 Exam

 

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Recommended exercises

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

RepetitionStatistics2022.pdf Download RepetitionStatistics2022.pdf

Video and solutions (from 2021)
Tuesday 29/3, 13:15-15

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

 

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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 Links to an external site..
  2. Physical Modeling in MATLAB 3/E, Allen B. Downey
    The book is free to download from the web Links to an external site.. 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.

 

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Kurssammanfattning:

Datum Information Sista inlämningsdatum