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

News

September 10

No class on Monday, September 10.

October 24

No class on Friday, October 26. Please use the time to put together a brief statement of the topic for your paper and presentation (see the Homework Assignments).

Course Information

• Syllabus
• Homework assignments
• Tentative schedule for presentations of term papers
• Notes:
  • Risk neutral probabilities
  • Financial instruments
  • Overview of derivatives
  • Valuation: marking to market
  • Statistics of market rates
  • Short term risk
  • Long term risk

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

• SAS notes on ARCH/GARCH modeling.
• 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 on Credit Ratings
• Slides on 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?