2009 ECO4050H1S-Topics in Financial Risk Management

Course Number: ECO4050H1S, L0101; Jan - April, 2009
Department: Economics
Program: MFE

Course Outline

Course Notes and Assignments Download Page (registered students only)

Link to Algo ARA


Bulletin Board:

Broadcasting Time: April 21, 2009; Subject: your final grade posted

ECO4050 Final Grade:
Student #  a1 a2 a3 Mid a4 Final Total    
996622695 15 10.5 12 16 14.25 15.20 82.95 83% A-
996554232 18 4.65 9 13.6 14.25 15.20 74.70 75% B
997071430 18 15 17.25 16.6 14.25 13.07 94.17 94% A+
993987272 14.25 15 16.5 13.8 14.25 16.53 90.33 90% A+
997060512 18 14.7 15 13.4 15 8.27 84.37 84% A-
994124416 15 11.4 9.75 11.4 14.25 18.40 80.20 80% A-
993757877 15 13.8 9.75 13.2 14.25 15.73 81.73 82% A-
997206875 18 15 17.25 17.4 15 18.13 100.78 101% A+
996554303 14.25 15 8.25 11 13.5 8.27 70.27 70% B-
992317284 15.75 13.8 9.75 13.2 14.25 16.00 82.75 83% A-
992147805 14.25 14.7 12 14.6 10.5 11.47 77.52 78% B+
992872021 16.5 13.5 11.25 14 13.5 19.47 88.22 88% A
996377291 18 15 17.25 15 15 16.27 96.52 97% A+
992314713 18 15 17.25 16.8 15 17.87 99.92 100% A+
997105804 18 15 15 18.2 13.5 14.93 94.63 95% A+
996663294 15 8.4 15 8.8 13.65 14.40 75.25 75% B
992566745 18 13.8 15 14.2 13.8 15.20 90.00 90% A+
997145888 18 15 17.25 17 13.5 13.33 94.08 94% A+

 

Broadcasting Time: April 20, 2009; Subject:final exam marks posted

Note: this is just the marks of April 17 exam, I will add it to the previous ones (a1-a4 & mid-term) to come up with your total marks.
Student Number  Q1 Q2 Q3 Q4(bonus) Q5 total Convert to Final
996622695 22 10 10 0 15 57 15.20
996554232 22 10 5 0 20 57 15.20
997071430 14 0 3 10 20 47 12.53
993987272 18 10 10 0 24 62 16.53
997060512 7 1 3 0 20 31 8.27
994124416 14 10 10 10 25 69 18.40
993757877 18 10 10 20 1 59 15.73
997206875 23 10 10 0 25 68 18.13
996554303 10 10 10 0 1 31 8.27
992317284 22 10 8 0 20 60 16.00
992147805 18 10 5 5 5 43 11.47
992872021 27 10 10 1 25 73 19.47
996377291 26 10 5 0 20 61 16.27
992314713 22 10 10 0 25 67 17.87
997105804 26 10 5 10 5 56 14.93
996663294 14 10 10 0 20 54 14.40
992566745 26 1 10 0 20 57 15.20
997145888 15 10 5 0 20 50 13.33

 

Broadcasting Time: April 16, 2009, 18:00; Subject: a4 solution posted

Broadcasting Time: April 15, 2009, 8:00; Subject: a4 marks updated
Student #  Q1 Q2 Q3 Q4 Q5 Report Total Convert to Final
996622695 30 20 10 15 15 5 95 14.25
996554232 30 20 10 15 15 5 95 14.25
997071430 30 20 10 15 15 5 95 14.25
993987272 30 20 10 15 10 10 95 14.25
997060512 30 20 10 15 15 10 100 15
993234479 30 20 10 15 10 5 90 13.5
994124416 30 20 10 15 15 5 95 14.25
993757877 30 20 10 15 15 5 95 14.25
997206875 30 20 10 15 15 10 100 15
996554063 0 0 0 0 0 0 0 0
996554303 30 20 10 15 10 5 90 13.5
992317284 30 20 10 15 15 5 95 14.25
992147805 30 20 10 5 0 5 70 10.5
992872021 30 20 10 15 10 5 90 13.5
996377291 30 20 10 15 15 10 100 15
992314713 30 20 10 15 15 10 100 15
997105804 30 20 10 15 10 5 90 13.5
996663294 30 10 8 13 13 10 84 13.7
992566745 30 20 10 15 12 5 92 13.8
997145888 30 20 5 15 15 5 90 13.5
991783691 0 0 0 0 0 0 0 0

 

Broadcasting Time: April 3, 2009, 18:30; Subject: Final Exam location is WW119

Final Exam confirmed (Time: April 17, 9am to 12noon; Location: WW119)

 

Broadcasting Time: March 10, 2009, 7:00; Subject: Mid-Term results posted; Solution will be posted once the special testing service is done. You can pick up your mid-term exam result today in Office Hour (12noon-1pm).
Student ID  Q1 Q2 Q3 Q4 Q5 Total Convert to Final
996622695 27 10 10 18 15 80 16
996554232 27 10 7 14 10 66 13.6
997071430 18 10 10 20 25 81 16.6
993987272 27 7 7 18 10 69 13.8
997060512 21 10 3 18 15 67 13.4
993234479 30 10 10 4 5 59 11.8
994124416 24 10 4 4 15 57 11.4
993757877 24 10 10 12 10 58 13.2
997206875 27 6 6 20 28 87 17.4
996554063           0 0
996554303 18 4 7 16 10 55 11
992317284 30 4 7 20 5 66 13.2
992147805 30 3 10 20 10 73 14.6
992872021 17 10 10 18 15 70 14
996377291 30 10 7 18 10 75 15
992314713 24 10 10 20 20 84 16.8
997105804 27 10 10 16 28 91 18.2
996663294 18 4 10 2 10 44 8.8
992566745 19 10 7 20 15 71 14.2
997145888 30 10 10 20 15 85 17
991783691           0 0

Average: 71 out of 19 students

 

Broadcasting Time: March 5, 2009, 16:00; Subject: Assignment 2 & 3 solution are posted

Assignment 2 & 3 solutions are posted under Feb 6 and Feb 13 course note area.

Broadcasting Time: March 4, 2009, 18:00; Subject: Assignment 3 Marks and Marking schama for A3
Student Number  Q1 Q2 Bonus Total Convert to Final
996622695 65 15 0 80 12
996554232 45 15 0 60 9
997071430 70 30 15 100 17.25
993987272 65 30 15 110 16.5
997060512 70 30 0 100 15
993234479 55 15 0 70 10.5
994124416 50 15 0 65 9.75
993757877 50 15 0 65 9.75
997206875 70 30 15 115 17.25
996554063       0 0
996554303 55 0 0 55 8.25
992317284 50 15 0 65 9.75
992147805 65 15 0 80 12
992872021 60 15 0 75 11.25
996377291 70 30 15 115 17.25
992314713 70 30 15 115 17.25
997105804 70 30 0 100 15
996663294 70 30 0 100 15
992566745 70 30 0 100 15
997145888 70 30 15 115 17.25
991783691       0 0

 

Broadcasting Time: March 3, 2009, 20:00; Subject: course schedule shange

Just got a notice from the department: "the last course should end on April 9th, 2009
Final Exam must be done in April 13-22, 2009"

Based on this, our course plan needs to change accordingly. The originally scheduled final exam date will be revised. Please stay tuned.

Broadcasting Time: Feb 27, 2009, 20:50; Subject: J.P. Morgan Data document posted

From today's topic you can download J.P. Morgan Data document

Broadcasting Time: Feb 27, 2009, 20:40; Subject: a2 marks posted
ID 2yr Tbd Zcb CadEur EurUsd UsdCad Total Convert to Final
996622695 16 2 16 16 20 70 10.5
996554232 18 1 12 0 0 31 4.65
997071430 24 4 24 24 24 100 15
993987272 24 4 24 24 24 100 15
997060512 24 4 22 24 24 98 14.7
993234479 24 4 24 22 20 94 14.1
994124416 16 4 18 18 20 76 11.4
993757877 18 2 24 24 24 92 13.8
997206875 24 4 24 24 24 100 15
996554063           0 0
996554303 24 4 24 24 24 100 15
992317284 18 2 24 24 24 92 13.8
992147805 24 4 22 24 24 98 14.7
992872021 14 4 24 24 24 90 13.5
996377291 24 4 24 24 24 100 15
992314713 24 4 24 24 24 100 15
997105804 24 4 24 24 24 100 15
996663294 16 2 14 10 14 56 8.4
992566745 24 2 22 22 22 92 13.8
997145888 24 4 24 24 24 100 15
991783691              

 

Broadcasting Time: Feb 27, 2009, 0:40; Subject: course notes for Feb 27 posted

Broadcasting Time: Feb 26, 2009, 23:40; Subject: marking schema for a2

  • deduct 8 for each map if it is wrong;
  • deduct 4 for each irrelevant var map;
  • deduct 2 for each map calculation error wrong (or number correct by put in wrong place) given error is casuled by the following errors:
  • (Note: no double count in each position, but double count for different positions)
  • using absolute tweeking method, extra -2;
  • using wrong discounting frequency, extra -2;
  • missing -ve sign for IR Map, extra -2;
  • error in rate interpolation, extra -2;
  • using wrong fx spot rate extra -2;
  • using wrong fx forward valuation formula, extra -8;
  • using wrong ir var map formula, extra -8;
  • using wrong fx var map formula, extra -8;
  • tweaking discount factor instead of rate, extra -8;

    Broadcasting Time: Feb 22, 2009, 23:00; Subject: xls examples typo revised