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Resource Page for ST958

Topics 1 and 3 will be taught during Weeks 2-7. Topic 2 will be taught in Weeks 8-10.

Topic 1: Introduction to Risk Measures

Lecture notes [pdf]

The lecture notes will be updated after each lecture.

Problem Sheet [pdf]

Solution Sheet [pdf]

The problem sheet will be updated after each chapter, the solution sheet in due time.

The class test for Topic 1 will take place in the lecture on Wednesday 13th February (Week 6).

Topic 2: Systemic risk and contagion risk

Lecture notes with the exercises [pdf]

The lecture notes will be updated regularly.

The class test for Topic 2 will take place in the lecture on Wednesday 13 March (Week 10).

Topic 3: Stochastic Volatility

Lecture Notes: split into 5 parts [pdf] [pdf] [pdf] [pdf] [pdf]

Problem Sheet [pdf] Solutions: [pdf]

The class test for Topic 3 will take place in the lecture on Wednesday 20th February (Week 7).

Past Papers

ST958 Sample Exam [pdf] Solutions [Risk Measures] [Systemic Risk] [Stochastic Volatility].

2018 Exam [pdf] Solutions[pdf]