Dear students,
Welcome to the course Foundations of Quantitative Risk Measurement for the academic year 2019-2020. My name is Daniël Linders and I will be the instructor for this course. In order to teach this course, I will combine online lectures and online office hours with in-class lectures and physical office hours. An outline for the different lectures of this course is given below. Lecture dates which are labeled ‘Online’ will consist of a set of videos which will be uploaded and can be watched via Youtube. The videos will be available to you until the end of the semester.
There will be different sessions of in-class lectures (September 30, October 1, November 25, 26, December 2, 9 & 16) held at the KU Leuven. Details (time and location) can be found below in the course schedule.
The main place to look for updates, slides, videos, etc. about this course is the Toledo website. However, if you have no access at the moment, you can find all updates on this website, for the moment. However, please make sure you register for Toledo!
If you have any questions about this course, do not hesitate to contact me via email (daniel.linders@kuleuven.be).
Kind regards,
Daniël Linders
Course Schedule
KU Leuven:
- Monday September 30 in HOGC-02.28: 9h-11h: Lecture 1: Expected Utility Theory.
- Monday September 30 in HOGM-01.85: 13h-16h: Lecture 2: Integral Stochastic Orders.
- Tuesday October 1 in PSI 02.51: 9h-11h: Lecture 3: Dependence Modeling.
Online:
- Monday October 21 (Online, available at 8u): Lecture 4: Comonotonicity.
- Monday November 4 (Online, available at 8u): Online Exercises
- Monday November 18 (Online, available at 8u) Lecture 5: The dual theory of choice under risk.
- Monday December 9 (Online, available at 8u) Lecture 9: Workshop on dependence modeling.
KU Leuven:
- Monday November 25 in HOGC-02.28: 9h-11h: Lecture 6: Risk Measures
- Monday November 25 in HOGM-01.85: 13h-16h: Lecture 7: Subadditivity
- Tuesday November 26 in HOG 01.158: 9h-12h: Office hours. Make an appointment or just pass by.
- December 2 in HOGC-02.28: 9-11h: Lecture 8: Distortion risk measures.
- December 16 in HOGC-02.28: 9-11h: Lecture 10: Aggregating risks Part I.
- December 16 in in HOGM-01.85: 13h-16h: Lecture 11: Aggregating risks Part II.
Course Documents
I will upload all material (slides, notes, exercises, etc) I use during the lecture here!
Introduction to the course
- Course syllabus: Click here.
- Handouts: Click here.
Chapter 1: Expected Utility Theory
- Handouts of Chapter 1: Click here.
- Workings on exponential utility functions: Click here.
- Annotated Handouts Chapter 1: Click here.
- In-class derivations of exponential utility: Click here.
Chapter 2: Integral Stochastic Orders
- Handouts of Chapter 2: Click here.
- workings on mutual exclusivity and convex order: Click here.
- Annotated Handouts Chapter 2: Click here.
Chapter 3: Stochastic Dependence
- Handouts of Chapter 3: Click Here.
- Video Part 1: https://youtu.be/Nc_r5RrHHog
- Video Part 2: https://youtu.be/4jWJfd1jZEg
- Video Part 3: https://youtu.be/KcX5psRo6BE
- Video Part 4: https://youtu.be/-JVFt9T65aw
- Video Part 5: https://youtu.be/n-as99A9l74
- Video Part 6: https://youtu.be/E13_u04HGOI
- Video Part 7: https://youtu.be/9oJDt3TAfwg
- Video Part 8: https://youtu.be/zco8e-dl0iE
Chapter 4: Comonotonicity
- Handouts of Chapter 4: Click here.
- R code: the quantile transform theorem: Click here.
- Detailed derivations for the correlation between lognormal random variables: Click here.
- Video Part 1: https://youtu.be/E0CJIMEwutM
- Video Part 2: https://youtu.be/aVgsE7vH9dg
- Video Part 3: https://youtu.be/BgjABoqw8k0
- Video Part 4: https://youtu.be/NBEBrSJjso8
Chapter 5: Yaari’s Dual Theory
- Handouts of Chapter 5: Click here.
Chapter 6: Risk Measures
- Handouts of Chapter 6: Click here.
- Homework TVaR: Click here.
Chapter 7: Subadditivity and Risk Aggregation
- Handouts of Chapter 7: Click here.