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 the 2021 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/slack-mys5539/shared_invite/zt-1rfu4d7uc-7B0gP6LBt6ObXYb8hnh71Q
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 |
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Monday 20/3, 10:15-12 Euler |
Introduction, form groups, choose projects,
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Tuesday 21/3, 13:15-15 Euler |
Extreme value statistics, block maxima method
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| Thursday 23/3, 15:10-16:55 Euler |
Peaks over Thresholds models, ML-estimation |
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Monday 27/3, 10:15-12 Euler |
Exercise session: Repetition of basic statistics |
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Tuesday 28/3, 13:15-15 Euler |
Exercise session: Extreme risks | |
| Thursday 30/3, 15:10-16:55 Euler |
Catastrophe insurance, Dependent extremes, estimation of Value at Risk
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Monday 17/4, 10:15-12 Euler |
First hour: Exercise session on Extreme risks Second hour: Extreme risks, wrap up |
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Tuesday 18/4, 13:15-15 Euler |
Credit Risk 1
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Thursday 20/4, 15:10-16:55 Euler |
Exercise session: Credit risk |
Exercises 1-10 from Static credit portfolio models |
| Monday 24/4, 10:15-12 Euler |
Credit risk 2
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| Tuesday 25/4, 13:15-15 Euler | Exercise session: Credit risk |
Exercises 11-20 from Static credit portfolio models |
| Thursday 27/4, 15:10-16:55 Euler | Reading project presentations |
2007-2008 financial crisis. Discussants:The Krueger crash Wirecard. Discussants: The collapse of FTX/Alameda The Krueger crash. Discussants: Michael Milken |
| Tuesday 2/5, 13:15-15 Euler | Credit risk 3 and Technical project 1 question hour |
13:15-14:10 Credit risk3 14:20-15 Tp 1 question hour |
| Thursday 4/5, 15:10-16.55 Euler | Reading project presentations |
The dotcom bubble. Discussants: Silicon Valley Bank Basel III. Discussants: 2007-2008 financial crisis Silicon Valley Bank. Discussants: Discussant: The dotcom bubble |
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Monday 8/5, 10:15-12 Euler |
Reading project presentations |
The collapse of FTX/Alameda. Discussants: Basel III Michael Milken. Discussants: Wirecard The 2020 oil crash. Discussant LTCM Starts 12 o,clock. Attendance not required. LTCM. Discussants The 2020 oil crash. |
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Tuesday 9/5 13:15-15 Euler |
Excercise session
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Old exams
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Thursday 11/5, 15:10-16:55 Euler
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No lecture |
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Monday 15/5 10:15-12 Euler |
No lecture |
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Tuesday 16/5 |
Deadline Technical Project 1 |
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Tuesday 16/5 13:15-15 Euler |
Excercise session
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Wrap up |
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Monday 22/5, 10:15-12 Euler |
Credit risk wrap up Voting for cinema tickets Question hour |
Voting for cinema tickets will be at 11:00 Question hour starts at 11:15 |
| Monday 22/5 | Individual fortunetelling deadline | |
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Tuesday 23/5 13:15-15 Euler |
Reserve | |
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Monday 29/5 14-18 |
Exam |
Recommended exercises
| Day | Exercises |
|---|---|
| Monday 27/3, 10:15-12 | |
| Tuesday 28/3, 13:15-15 |
4,7,9,13,14 from Exercises_MVE220_MSA400.pdf |
| Monday 17/4, 10:15-11 |
1,2,3,5,8,10,11,17,18 from Exercises_MVE220_MSA400.pdf Video and solutions (from 2021)
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| Thursday 20/4, 15:10-16:55 | |
| Tuesday 25/4, 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 |
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