2009 ECO4050H1S-Topics in Financial Risk Management
Course Number: ECO4050H1S, L0101; Jan - April, 2009
Department: Economics
Program: MFE
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
Broadcasting Time: Feb 22, 2009, 23:00; Subject: xls examples typo revised
Broadcasting Time: Feb 17, 2009, 17:30; Subject: small revision for a3
a small revision made for a3: for the EUR/USD FX Fwd instrument, VaR map of EUR.R30 is supposed to be in EUR.R365. This is fixed and a3 is updated. Sorry about this.
Broadcasting Time: Feb 17, 2009, 10:00am; Subject: FAQ
Que: Just wondering in your FX table which currency is the denominated,
the horizontal or
vertical one?
Ans: Mine is vertical currency denominated, because my FX lable is:
From / To
So CAD/EUR is 1.76923076923077 in my assignments.
Que: In A3, you mention that the VaR maps are scaled up based
on
unit/contract sizes. Is it necessary to scale them down when we
calculate the Portfolio VaR maps.
Ans: No, you do not scale it down, just use as is.
Que: In assignment 2, you wrote that the volatility has been scaled
by 1/1.65
Does it mean that the formula we should use this time is V=Mi*sigma
instead of V=Mi*sigma/1.65 (in the lecture). Where does it come from,
and why especially 1.65?
Ans: Usually J.P Morgan Price Vol is scaled by 1.65, i.e. sigma*1.65, so to use it (sigma), you have to multiple 1/1.65. I did it for you in a2, so the price vol you see in a2 is sigma already. But you do not need to use price vol in a2.
In a3 you will need it, again I have scaled it back for you, so just treat it as sigma, not sigma*1.65.
Why 1.65? because it is about 95% percentile of normal distribution.
Que: how to discount using discount curve, such IRUSD, IRCAD and IREUR?
Ans: How to discount depends on the rate unit. I am using Simple Compounding because that is the Unit given in my discount curve:
Curve Unit % SMP actual/365
SMP means simple compounding.
Broadcasting Time: Feb 13, 2009, 5:00pm; Subject: a3 missing 2 VaR mapps fixed
a student point out I missed two IR VaR maps for the EUR/USD FX Fwd contract (missing both EUR IR.365 and USD IR.365). This is corrected, the updated a3 xls file is posted. Please use this updated posting.
Attention: although these VaR Maps in a3 comes out from similar instruments as in a2, but the VaR maps may not be the same or even incorrect. In finishing a3, I want you take these VaR maps as given and derive Portfolio level VaR Maps and VaR.
Broadcasting Time: Feb 13, 2009, 3:00pm; Subject: a typo revised in a3, also due date deferred
a typo revised in a3, as a result the VaR maps given in the USD/CAD FX1 Fwd1 changed. Please down load the new a3 xls file and discard the old one.
the due date of assignment 3 is deferred to time 18:00, Feb 28, 2009.
Broadcasting Time: Feb 10, 2009, 3:00pm; Subject: a2 has small revision
Curve nodes 274 and 548 are removed from IRCAD, IRUSD and IREUR if there exist. So, to discount a cash flow on term 548, you have to do linear interpolation to find the rate for term 548.
Broadcasting Time: Feb 09, 2009, 5:00pm; Subject: a1 marks posted here
ID | Received | Q1 Mark | Q2 Mark | Q3 Mark | Bonus Ma | Total | 15% (Final) |
997206875 | Jan 27, 2am | 30 | 20 | 50 | 20 | 120 | 18 |
992872021 | Tuesday, Ja | 30 | 10 | 50 | 20 | 110 | 16.5 |
996377291 | Tue 1/27/20 | 30 | 20 | 50 | 20 | 120 | 18 |
992566745 | Tue 1/27/20 | 30 | 20 | 50 | 20 | 120 | 18 |
996554232 | Tue 1/27/20 | 30 | 20 | 50 | 20 | 120 | 18 |
997105804 | Tue 1/27/20 | 30 | 20 | 50 | 20 | 120 | 18 |
992314713 | Tue 1/27/20 | 30 | 20 | 50 | 20 | 120 | 18 |
992317284 | Tue 1/27/20 | 25 | 10 | 50 | 20 | 80 | 15.75 |
993234479 | Tue 1/27/20 | 30 | 20 | 50 | 20 | 120 | 18 |
997060512 | Tue 1/27/20 | 30 | 20 | 50 | 20 | 120 | 18 |
996958733 | Tue 1/27/20 | 30 | 20 | 50 | 20 | 120 | 18 |
997071430 | Tue 1/27/20 | 30 | 20 | 50 | 20 | 120 | 18 |
996554063 | Tuesday, Ja | 0 | 10 | 40 | 0 | 50 | 7.5 |
997145888 | Tuesday, Ja | 30 | 20 | 50 | 20 | 120 | 18 |
993987272 | Thursday, F | 25 | 20 | 50 | 0 | 95 | 14.25 |
996622695 | Wednesday | 30 | 20 | 50 | 0 | 100 | 15 |
994124416 | Tuesday, F | 30 | 20 | 50 | 0 | 100 | 15 |
996554303 | Thursday, F | 30 | 20 | 45 | 0 | 95 | 14.25 |
993757877 | Thursday, F | 30 | 20 | 50 | 0 | 100 | 15 |
992147805 | Friday, Febr | 30 | 15 | 50 | 0 | 95 | 14.25 |
996663294 | Sunday, Fe | 30 | 20 | 50 | 0 | 100 | 15 |
Broadcasting Time: Feb 05, 2009, 6:30pm; Subject: course notes updated
Course notes font problems are corrected.
Broadcasting Time: Feb 03, 2009, 6:30pm; Subject: course notes posted
Course notes for Feb 3 posted.
Broadcasting Time: Jan 29, 2009, 11:30pm; Subject: course notes updated
"Economic Capital Part 2" and Mkt VaR-IRVaR are updated.
Broadcasting Time: Jan 27, 2009; Subject: doc and xls format
If you are using MS Office 2007 verssion, please save your doc and xls files into MS Office 2003 format, because I have not installed MS Office 2007 yet.
Broadcasting Time: Jan 26, 2009; Subject: A bug revision in xls file found and revised
A bug in ALM-slide-durgap.xls is fixed. In the example, I used book value (cell D10) in determining portfolio asset duration gap, market value (cell H10) should be used instead. This bug is now fixed, please download xls file again.
Broadcasting Time: Jan 23, 2009; Subject: A revision on Q3 of Assignment 1
In Question 3 of Assignment 1, Macaulay Duration is changed to Modified Duration. Please download updated assignment.
Broadcasting Time: Jan 20, 2009; Subject: About next class on Jan 23
Since all MFE students can not attend the class on Jan 16 due to a semina event, in the next class (on Jan 23), I will spend the first hour to help make up this by repeating the the first 56 slides of the ALM Topic. For those who have already attended class on Jan 16, you may want to just come in for the second hour of the class.
Broadcasting Time: Jan 16, 2009; Subject: course notes updated
Assignment 1: Q1(a) is updated to make it clear using "two year time bucket/window";
Bonus deadline postponed to Jan 27 since all MFE studends can not attend todays class.
Course notes updated.
Broadcasting Time: Jan 14, 2009; Subject: course notes updated
Both course note of Topic 1 & 2 are updated; TA hour is from 12noon-1pm on Tuesday in room GE40 (basement of 150 St. Geroge).
Broadcasting Time: Aug 11, 2008; Subject: course time and location
F 10:00am - 12noon, WW126