Quantitative Risk Management

Professor:

Olivier Scaillet (Uni Pignon 411)

Assistants:

Daniel Batista da Silva

Alain-Philippe Fortin

Grading:

Final Grade = 40% project + 25% exam + 20% presentation of chapters + 15% participation in seminars

Information

Please follow the Nuvolos course webpage for the course organization details such as time slots, dates, visio conference invitations, rooms, as well as what to do for next week. The Nuvolos invitation link is sent to students of Master programs in February. If you are enrolled to the course and do not have the link, please contact the assistant by email.

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

QRM_GC_A

QRM_GC_B

QRM_GC_C

QRM_GC_D

QRM_GC_E

Articles

DenuitScaillet04
Fermanian05
FermanianScaillet03
FermanianScaillet04
GeorgesLamyNicolasQuibelRoncalli01
Scaillet05
Scaillet07
Zingales15
ASA_statement16

Seminars

IT Interview

IT Mock Interview

Practical 1

Copulas

Practical 2

GJR Copula

Miscellaneous

Introduction to Programming Languages

Old exams

Exam 2010 (FR)

Exam 2011 (FR)

Exam 2015 (EN)