Risk Analysis 2019/20

General informations

• Lab results
• Retake of MidTerm: 3rd of december 8:30 - 10:00 (IL 108) !!! The lecture for others will be taken !!!
• 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
• Risk Analysis lecture slides
• Computational Finance
• Derivatives Risk
• GRADE = (MidTermTest + LabAverage + Exam) / 3
  LabAverage = Sum of lab points / Number of topics
  • ~10 topics,
  • 5 points each

1. lab - Introduction

• General informations
• Python introduction slides

2. lab - Introduction, part 2.

• Python introduction (cont’d)

3. lab - Introduction, part 3.

• Introduction tasks
• Results

4. lab - Calculating risk (Brute Force)

• Calculating risk tasks
• Results

5. lab - Estimating risk, part 1.

• Estimating risk, Markov, CLT
• Results

6. lab - Chernoff bounds

• Chernoff bounds tasks
• Results

7. lab - Sampling methods, part 1

• Sampling methods tasks, part 1
• Results

8. lab - Sampling methods, part 2

• Sampling methods tasks, part 2
• Results

9. lab - Portfolio risk

• Portfolio risk tasks
• s.csv


• Results

10. lab - Mean reverting portfolios

• Optimizing mean reverting portfolios tasks
• s.csv


• Results

11. lab - Portfolio risk 2

• Portfolio risk tasks 2
• s.csv


• Results

Useful links

• Python cheat sheet
• Python cheat sheet 2
• Python video lessons
• Introduction to Python course
• Official documentation
• Python tutorials