Risk management (Spring 2019)  

Professor: Olivier Scaillet (Uni Pignon 411)
TA: Evgenii Anisimov (Uni Pignon 310)
Course: Wed 20/2, 27/2, 13/3, 20/3, 27/3, 10/4, 17/4, 08/5, 15/5 10-12am @ Uni Mail M 5342
Seminar: Thu 07/3, 14/3, 21/3, 28/3, 11/4 16-18pm @ Uni-Mail M 5220;
Thu 04/4 16-18pm @ Uni-Mail M 5290
Reception time: Wed 14-16pm
Grading: final grade = max(50% project, 40% project + 10% homeworks) + 30% presentation of chapters + 20% exam

Information

Beware: Consult frequently the course website for potential change in course dates.

Book chapters presentation: Thursday, May 23rd, 8:15-10 am @ M5342
Project defense: Tuesday, May 28th, 10:15-12 am @ M3220.

Reference Reading

A. J. McNeil, R. Frey, and P. Embrechts (2005), Quantitative Risk Management, Princeton University Press

Slides

A. Testing for PQD
B. Inference in Copula Models
C. GOF Tests for Copula
D. Survival Copula
E. Financial Applications

Articles

DenuitScaillet04
Fermanian05
FermanianScaillet03
FermanianScaillet04
GeorgesLamyNicolasQuibelRoncalli01
Scaillet05
Scaillet07
Zingales15
ASA_statement16

Seminars

IT interview IT Mock Interview
Practical 1 Copulas
Practical 2 GJR Copula / Data
Miscellaneous Introduction to programming language

Old exams

Exam 2010 (FR)
Exam 2011 (FR)
Exam 2015 (EN)