Welcome to the home page for Statistics 810-006. 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

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:
  • David Li's article on copulas
  • Wikipedia entry on the LIBOR fixing scandal
  • WSJ item: Greece's restructuring did not trigger CDS payments
  • Reuters item: Greek legislation did trigger CDS payments
  • U.S. Senate Permanent Subcommittee on Investigations report on the JPMorgan Chase "whale" trades
• 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:
  • Risk neutral probabilities
  • Financial instruments
  • Overview of derivatives
  • Valuation: marking to market
  • Overview of time series modeling
  • Black-Scholes and some option prices
  • Statistics of foreign exchange rates
  • Statistics of yield curves
  • Short term risk
  • Long term risk
  • Credit Ratings
  • Copulas
  • Overview of Principal Component Analysis
  • Multivariate GARCH models
  • Overview of Extreme value theory and Pareto models
• Value at Risk:
  • Basel Committee Amendment to the Capital Accord
  • Basel Committee framework for Backtesting
  • Federal Reserve study: How Accurate are Value-at-Risk Models at Commercial Banks?
• Basel III
  • The Liquidity Coverage Ratio
  • Fundamental review of trading book capital requirements