Quantitative Risk Management ('19-'20)

Instructor

John Dodson
jdodson@math.umn.edu

Resources

syllabus updated 23 Oct
grades (Canvas)
classroom 5:30 PM Wednesdays Tate Hall 110 (Zoom)
office hours 7 PM Sundays (8 PM on 24 Nov) (Zoom)
discussion (Piazza)
resources (files)

Texts

Required

Quantitative Risk Management revised, Alexander McNeil, Rüdiger Frey, & Paul Embrechts, Princeton, Bookstore

Recommended

Analysis of Financial Timeseries, 3rd ed., Ruey Tsay, Wiley

Schedule

Wed 23 Oct, QRM ch I.2 slides solution recording

Wed 30 Oct, QRM ch I.3 slides solution data recording

Wed 6 Nov, QRM ch II.4 slides solution recording

Wed 13 Nov, QRM ch II.5 (§5.1-2) slides case case discussion solution recording

Wed 20 Nov, QRM ch II.6 slides case solution data recording

Web 27 Nov, QRM ch II.7 (§7.1-2,7.3.1-2) slides solution recording

Wed 4 Dec, QRM ch II.8 (§8.1-3) slides case recording

Wed 11 Dec, QRM ch III.9 quiz slides case recording

Wed 18 Dec, project due

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