Risk management (Spring 2020)

Instructor:

Dr. Gilles Criton

Assistants:

Evgenii Anisimov

Alain-Philippe Fortin

Course:

Mon 8:15-10:00 @ Uni Mail M 2170

Seminars:

Thu 05/3, 12/3, 23/4, 07/5*, 14/5, 21/5* @ 16:15-18:00 @ Uni-Mail M 5220;

Thu 19/3, 26/3, 02/4, 09/4 @ 16:15-18:00 @ Uni-Mail M 5383

Reception time:

Wednesday, 14:00-16:00 (please make an appointment by email)

Grading:

final grade = 40% project + 25% exam + 20% presentation of chapters + 15% participation in seminars
final grade = 50% project + 25% exam +25% chapters*
*+5% bonus for those who attended the IT interview based on performance

Information

Schedule of the oral exam (8-9 Jun)

Questions for the oral exam

Schedule of the IT interview

Assigned Chapters

Project:

A project has to be done in a group of 2 or 3 students. You need to prepare and send 1) a report (in pdf format): no requirement on number of pages, quality is strongly preferred over quantity 2) slides for your defence 3) all supplementary codes. Please send the above mentioned materials before May 14th, 14:00

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

The exercise sessions are MANDATORY. You have to sign the attendance sheet and attempt the exercises. You CANNOT sign the attendance sheet and leave shortly afterwards. If you do so, your participation in the seminar will not be counted. The only way to leave early and still obtain participation credit is to show the COMPLETE results for the corresponding exercises to the assistant.

Introduction to programming languages: Thursday, March 5th, 16:15-18:00 @ M5220
IT interview: Thursday, March 12th, 16:15-18:00 @ M5220

Practical 1 (Copulas): Thursday, March 19th, 16:15-18:00 @ M 5383 (computer room)
Practical 1 (Copulas): Thursday, March 26th, 16:15-18:00 @ M 5383 (computer room)

Practical 2 (GJR model): Thursday, April 2nd, 16:15-18:00 @ M 5290 (computer room)
Practical 2 (GJR model): Thursday, April 9th, 16:15-18:00 @ M 5383 (computer room)

An example of previous exams (Exam2015): Thursday, April 23rd, 16:15-18:00 @ M5220

Book chapters presentation: Thursday, May 7th , 16:15-19:00 @ M5220
Project defense: Thursday, May 14th , 16:15-19:00 @ M5220.

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 (2020)

Practical 1

Copulas / Solution

Practical 2

GJR Copula / Data / Slides/ Codes

Miscellaneous

Introduction to programming languages (2020)

Videos

Practical 1 (part 1)

Practical 1 (part 2)

Practical 2

Exam 2015

Old exams

Exam 2010 (FR)

Exam 2011 (FR)

Exam 2015 (EN)/ Solutions(slides)