Welcome to the home page for Statistics 810-004. You will find all the course information through this page.

Course Information

• Syllabus
• Homework assignments
• Notes:
  • Risk neutral probabilities
  • Financial instruments
  • Overview of derivatives
  • Valuation: marking to market
  • Statistics of market rates
  • Short term risk
  • Long term risk
• Schedule of Presentations

Background Reading

• Financial Derivatives in Theory and Practice, by P.J. Hunt and J.E. Kennedy
• The Handbook of Fixed Income Securities, ed. Frank J. Fabozzi
• Options, Futures, and Other Derivatives, by John C. Hull
• Credit Risk, by Darrell Duffie and Kenneth J. Singleton

Online Resources

• Various R scripts
• Various data sets
• SAS notes on ARCH/GARCH modeling.
• A glossary to ARCH (GARCH), assembled by Tom Bollserslev
• A review of Multivariate GARCH models
• The R-project home page
• News items:
  • A Financial Times story about oil hedging
  • A CNN story about derivative risk in oil derivatives
  • A New York Times article about risk management
  • The WSJ article on Synthetic CDOs and David Li's article
• Papers on measures of risk:
  • Coherent measures of risk, by Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, and David Heath
  • Coherent allocation of risk capital, by Michel Denault
  • Robust preferences and convex measures of risk, by Hans Follmer and Alexander Schied
• Slides:
  • Black-Scholes and some option prices
  • Credit Ratings
  • Copulas
• Value at Risk:
  • Basle Committee Amendment to the Capital Accord
  • Basle Committee framework for Backtesting
  • Federal Reserve study: How Accurate are Value-at-Risk Models at Commercial Banks?

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