Foundations of Quantitative Risk Measurement

Dear students,

Welcome to the course Foundations of Quantitative Risk Measurement. My name is Daniël Linders and I will be 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 three sessions of in-class lectures (October 22 & 23, November 19 & 20, December 17) and two exercise sessions 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

Online:

  •  Monday October 1 (Online, available at 8u): Introduction: Foundations of Quantitative Risk Measurement.
  • Monday October 8 (Online, available at 8u): Lecture 1: Expected Utility Theorey (part I).
  • Monday October 15 (Online, available at 8u) Lecture 2: Expected Utility Theory (Part II).

Session 1:

  • Monday October 22 in HOGC-02.28: 9h-11h: Lecture 3: Integral Stochastic orders.
  • Monday October 22 in HOGM-01.85: 13h-16h: Lecture 4: Comonotonicity
  • Tuesday October 23 in HOGM-01.85: 9h-11h: Additional comments, exercises, Applications on Lecture 1, 2, 3 and time for Questions.

Online:

  • Monday October 29 (Online): Lecture 5: Copulas.
  • Monday November 5 (Online) Lecture 6: Distorted Expectations.

Session 2:

  • Monday November 19 in HOGC-02.28: 9h-11h: Lecture 7: Risk Measures
  • Monday November 19 in HOGM-01.85: 13h-16h: Lecture 8: Subadditivity
  • Tuesday November 20 in HOGM-01.85: 9h-11h: Lecture 9: Aggregating risks

Session 3:

  • Monday December 17 in HOGC-02.28: Applications of comonotonicity in basket option pricing and longevity derivative pricing.

Exercise sessions:

  • Session 1: Monday October 29, 9h-11h in HOGC-02.28.
  • Session 2: Monday December 10, 9h-11h in HOGC-02.28.

Course Documents

October 1, 2018: Introduction

October 8, 2018: Lecture 1 on Expected Utility Theory

October 15, 2018: Lecture 2 on Expected Utility Theory