MVE220/MSA400 Financial risk
This page contains the program of the course. Other information, such as learning outcomes, teachers, literature and examination, are in a separate course PM.
Program
The schedule of the course is in TimeEdit.
Lectures
| Day | Sections | Content |
|---|---|---|
| Monday 23/4, 10-12 | Introduction, form groups, choose projects, data driven risk managemen |
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| Tuesday 24/3, 13-15 |
Extreme value statistics, block maxima method |
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| Thursday 26/3, 15:15-17 | Exercise session: Repetition of basic statistics |
https://chalmers.zoom.us/j/939677715 |
| Monday 30/3, 10-12 | Peaks over Thresholds models, ML-estimation | |
| Tuesday 31/3, 13:15-15 | Exercise session: Extreme risks | |
| Thursday 2/4, 15-17 |
Catastrophe insurance, Dependent extremes, estimation of Value at Risk |
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| Monday 20/4, 10-12 | First hour: Extreme risks, wrap up Second hour: Exercise session on Extreme risks |
|
| Tuesday 21/4, 13-15 | Credit Risk 1 | |
| Thursday 23/4, 15:15-17 | Exercise session: Credit risk | |
| Monday 27/4, 10-12 | Credit risk 2 | |
| Tuesday 28/4, 13:15-15 | Exercise session: Credit risk | |
| Monday 4/5, 10-12 | Reading project presentations |
Stagflation and depression during 2020 (discussants group 1) Impact of diversification in risk management (discussants group 2) |
| Tuesday 5/5, 13-15 | Technical project 1 question hours | https://chalmers.zoom.us/j/67169795693 |
| Thursday 7/5, 15-17 | Reading project presentations |
Money laundering in Scandinavian banks (discussants group 3) Financial risks connected with of the Covid-19 epidemic (discussants group 4) |
| Sunday 10/5 | Deadline Technical Project 1 | |
| Monday 11/5, 10-12 | Reading project presentations |
Markowitz portfolio theory (discussants group 5) Jerome Kerviel (discussants group 7) |
| Tuesday 12/5, 13-15 | Reading project presentations |
Simulations to assess bias in extreme event prediction (discussants group 6) The tech bubble (discussants group 8) |
| Thursday 14/5, 15-17 | Reading project presentations |
The 2008 financial crisis (discussants group 9) Behavioral finance (discussants group 11) |
| Monday 18/5 | Reading project presentations |
Money laundering in Scandinavian banks (discussants group 10) Solvency 2 (discussants groups 6 and 12) |
| Monday 25/5, 10-12 |
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Tuesday 26/5 13-15 |
https://chalmers.zoom.us/j/65412110329 | |
| Thursday 28/5 15-17 |
Credit risk wrap up Voting for cinema tickets |
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| Friday 29/5 | Technical project 2 and individual fortunetelling deadlines | |
| Monday 1/6 14-18 | Home exam |
https://chalmers.zoom.us/j/61452634142 |
Recommended exercises
| Day | Exercises |
|---|---|
| Thursday 26/3, 15:15-17 | RepetitionStatistics2020.pdf |
| Tuesday 31/3, 13-15 | 4,7,9,13,14 from Exercises_MVE220_MSA400-1.pdf |
| Monday 20/4, 10-12 | 1,2,3,5,8,10,11 from Exercises_MVE220_MSA400-1.pdf |
| Thursday 23/4, 15-17 | Exercises 1-10 from Static credit portfolio models |
| Tuesday 28/4, 13-15 | 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 |
|---|---|---|