Risk Analysis 2019/20
General informations
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Lab results
- Retake of MidTerm: 3rd of december 8:30 - 10:00 (IL 108) !!! The lecture for others will be taken !!!
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MidTerm results (You can check the corrected tests on the next lab)
- Lectures: Tuesday 08:15 - 09:45 (IL 108)
- Prof. Miklos TELEK, telek@hit.bme.hu
- Lab: Tuesday 10:15 - 11:45 (IL 108)
- Attila CEFFER, ceffer@hit.bme.hu
- Agil YOLCHUYEV, yolchuyev@hit.bme.hu
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Risk Analysis lecture slides
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Computational Finance
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Derivatives Risk
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GRADE = (MidTermTest + LabAverage + Exam) / 3
LabAverage = Sum of lab points / Number of topics
- ~10 topics,
- 5 points each
1. lab - Introduction
2. lab - Introduction, part 2.
- Python introduction (cont’d)
3. lab - Introduction, part 3.
4. lab - Calculating risk (Brute Force)
5. lab - Estimating risk, part 1.
6. lab - Chernoff bounds
7. lab - Sampling methods, part 1
8. lab - Sampling methods, part 2
9. lab - Portfolio risk
10. lab - Mean reverting portfolios
11. lab - Portfolio risk 2
Send the solutions of the tasks using the following form: Upload
Deadline: 2019.12.10 23:59:59
Useful links
Python