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

Monday 20/3, 10:15-12

Euler

Introduction, form groups, choose projects,
data driven risk management

 

courseplan22-23.pdf

ethics2023.pdf

readingprojectinfo2023.pdf

reportwriting.pdf 

coursplanvideo.mp4

lecture1-23.pdf

lecture1sc-pages1-6.m4a

Lecture1sc-pages7-11.m4a

Tuesday 21/3, 13:15-15

Euler

Extreme value statistics, block maxima method

 

Lecture1sc-pages12-14.m4a

lecture1excercise.mp4

Lecture1sc-pages15-19.m4a

Thursday 23/3, 15:10-16:55 Euler

Peaks over Thresholds models, ML-estimation

 lecture2-23.pdf

Lecture2sc-pages2-3.m4a

Lecture2sc-pages4-5.m4a

lecture2-excercise-page5.mp4

Lecture2sc-pages6-8.m4a

lecture3 - 23.pdf

Lecture3sc-pages2-4.m4a

Lecture3sc-pages5-6.m4a

Lecture3sc-pages7-9.m4a

Lecture3sc-pages9-12.m4a

Lecture3sc-pages13-16.m4a

Monday 27/3, 10:15-12

Euler

Exercise session: Repetition of basic statistics

RepetitionStatistics2023.pdf 

RepetitionStatistics2023_slides.pdf 

Tuesday 28/3, 13:15-15

Euler

Exercise session: Extreme risks

Exercises_MVE220_MSA400.pdf 

Thursday 30/3, 15:10-16:55 Euler

Catastrophe insurance, Dependent extremes,  estimation of Value at Risk

 

Lecture3sc-pages17-24.m4a

lecture4-23.pdf

Lecture4sc-pages2-4.m4a

Lecture4sc-pages5-14.m4a

Monday 17/4, 10:15-12

Euler

First hour:

Exercise session on Extreme risks

Second hour:

Extreme risks, wrap up
 

Lecture5-23.pdf

Lecture5sc-pages2-6.m4a

Lecture5sc-pages7-11.m4a

Lecture5sc-pages12-13.m4a

Exercises_MVE220_MSA400.pdf

Tuesday 18/4, 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 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

 

Lecture7sc-pages20-24.m4a

Lecture7sc-pages25-28.m4a

 

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

Lecture8.pdf

Lecture8sc-pages2-9.m4a

Lecture8sc-pages10-11.m4a

Lecture8sc-pages12-20.m4a

Lecture8sc-pages21-30.m4a

Lecture8sc-pages31-32.m4a

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

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.

Tuesday 9/5 13:15-15 Euler

 

Excercise session

 

 

Old exams

 

Thursday 11/5, 15:10-16:55 Euler

 

No lecture

 

 

 

Monday 15/5 10:15-12 Euler

 No lecture

 

Tuesday 16/5 

Deadline Technical Project 1

 

 Tuesday 16/5 13:15-15 Euler

 Excercise session

 

Wrap up

Monday 22/5, 10:15-12

Euler

Credit risk wrap up

Voting for cinema tickets

Question hour

Lecture9 - 22-23.pdf

Lecture9sc-pages2-5.m4a

Lecture9sc-@pages6-11.m4a

Voting for cinema tickets will be at 11:00

 Question hour starts at 11:15

Monday 22/5  Individual fortunetelling deadline

Tuesday 23/5 13:15-15

Euler

Reserve

Monday 29/5 14-18

Exam

 

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Recommended exercises

Day Exercises
Monday 27/3, 10:15-12

RepetitionStatistics2023.pdf

Video and solutions (from 2021)

Tuesday 28/3, 13:15-15

4,7,9,13,14 from Exercises_MVE220_MSA400.pdf

Video and solutions (from 2021)

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)

 

Thursday 20/4, 15:10-16:55

Exercises 1-10 from Static credit portfolio models

Video and solutions (from 2021)

Tuesday 25/4, 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.
  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.

 

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Kurssammanfattning:

Datum Information Sista inlämningsdatum