RMSC2001Introduction
IntroductiontotoRisk
RiskManagement
Management
RMSC2001
IV. Financial instruments
Term 2, 2016-17 | Department of Statistics, The Chinese University of Hong Kong
References:
1. Hull, J.C. (2002) Options, Futures and other Derivatives
RMSC 2001 Introduction to Risk Management
Tutorial 3
1
Financial Risks
Market Risks: the risk of a change in the value of a financial position due to changes in
the value of the underlying components on which that position depends, such as stock and
bond
RMSC 2001 Introduction to Risk Management
Tutorial 1
1
Review of Basic Statistics and Probability Concepts
(1) Probability is a mathematical tool to quantify the uncertainty in the future.
(2) Risks and uncertainties can be handled (managed) by means of s
RMSC 2001 Introduction to Risk Management
Tutorial 5
1
Utility Theory
Definition 1.1. For a risk-averse individual, the utility function is concave, so u(E(W ) >
E(u(W ). The certainty equivalence is defined to be the amount CE such that u(CE) =
E(u(W ).
RMSC2001 Introduction to Risk Management
I. Introduction
Term 2, 2016-17| Department of Statistics, The Chinese University of Hong Kong
References:
1. George E. Rejda, G. E. and McNamara, M. (2012) Principles of Risk Management and Insurance, 12th Ed:
Pea
RMSC 2001 Introduction to Risk Management
Tutorial 2
1
Meaning and Classification of Risk
Broadly speaking, risk is defined as uncertainty of having a bad outcome. It has two components:
frequency and severity. To understand risk, we can look at it from d
RMSC2001Introduction
IntroductiontotoRisk
RiskManagement
Management
RMSC2001
III. Risk, utility and decisions
Term 2, 2016-17 | Department of Statistics, The Chinese University of Hong Kong
Reference:
Autor, D. (2014) Lecture Note 14: Uncertainty, Expecte
RMSC2001 Introduction to Risk Management
II. Theory of Interest and Bond Fundamentals
Term 2, 2016-17| Department of Statistics, The Chinese University of Hong Kong
References:
1. Ruppert, D. (2010) Statistics and Data Analysis for Financial Engineeri
RMSC2001Introduction
IntroductiontotoRisk
RiskManagement
Management
RMSC2001
V. Market risk management
Term 2, 2016-17 | Department of Statistics, The Chinese University of Hong Kong
References:
1. Hull, J.C. (2002) Options, Futures and other Derivatives
RMSC 2001
Introduction to Risk Management
Tutorial 8
November 21, 2016
1
Forward and Futures
Definition 1.1. (1) A forward contract is an agreement to buy or sell an asset at a certain
future time for a certain price.
(2) If you assume a long position, yo
RMSC 2001
Introduction to Risk Management
Tutorial 2
CHAN Chu Kin
September 26, 2016
1
Meaning and Classification of Risk
Broadly speaking, risk is defined as uncertainty of having a bad outcome. It has two components:
frequency and severity. To understan
RMSC2001Introduction
IntroductiontotoRisk
RiskManagement
Management
RMSC2001
IV. Financial instruments
Term 1, 2016-17 | Department of Statistics, The Chinese University of Hong Kong
References:
1. Hull, J.C. (2002) Options, Futures and other Derivati
RMSC2001Introduction
IntroductiontotoRisk
RiskManagement
Management
RMSC2001
III. Risk, utility and decisions
Term 1, 2016-17 | Department of Statistics, The Chinese University of Hong Kong
Reference:
Autor, D. (2014) Lecture Note 14: Uncertainty, Exp
RMSC2001Introduction
IntroductiontotoRisk
RiskManagement
Management
RMSC2001
V. Market risk management
Term 1, 2016-17 | Department of Statistics, The Chinese University of Hong Kong
References:
1. Hull, J.C. (2002) Options, Futures and other Derivati
Let me share two other factors about five forces.
Substitute Services
Although there is no substitute product for a necessity
like furniture,there are many substitute services for
providing fuiniture.First,Brand Furniture.Most of them
use simlar methods t
Assignment 9 (HUANG, Huilin 1155028967)
Over the years, our research team conducted data analysis mainly by applying
classical statistical methods. We set lots of assumptions when we analyze data while
sometimes there comes bias since we set too many cond
FINA 3080 Assignment Part 1 & 2 | HUANG, Huilin 1155028967
Part 1: Stock Code: 2318. HK PING AN
Introduction:
Ping An Insurance (Group) Company of China, Ltd (abbreviated to Ping An) is the
first joint-stock insurance company in China providi
STAT 4008
Survival Modeling
Assignment 1 (Solution)
Department of Statistics, The Chinese University of Hong Kong
1
Question 1
Suppose a discrete random variable T taking values 2, 4, 5, 7, 9, 12 with probabilities
respectively.
(a) Find the mean of T .
(
2.1
Likelihood Construction for Censored Data
Likelihood function:
If x1, x2, . . . , xn are the values of a sample from a population with parameter , the likelihood function of the sample
is given by
L() = f (x1, x2, . . . , xn; )
for the values of with
RMSC 2001 Introduction to Risk Management Science (Term 1 2014)
Mid-term Examination Preparation
The exam covers all the materials that have been discussed so far in this course, including
i. Introduction to risk management: Meaning of risk, various types
RMSC 2001 Introduction to Risk Management Science (Term 1 2014)
Mid-term Examination Preparation
The exam covers all the materials that have been discussed so far in this course, including
i. Introduction to risk management: Meaning of risk, various types
Department of Statistics, The Chinese University of Hong Kong
RMSC 2001 Introduction to Risk Management | Term 1 2014
Mid-term Practice Problems
1. The spreading of losses incurred by a few individuals over a larger group, so that average loss is
substitu
Department of Statistics, The Chinese University of Hong Kong
RMSC 2001 Introduction to Risk Management | Term 1 2014
Final Exam Information Sheet
1. As organised by Registration and Examinations Section, the final examination (the exam) is scheduled on 9
Example of distribution of two continuous random variables
Let the joint p.d.f. of X and Y be
3
f ( x, y ) x 2 (1 | y |), - 1 x 1. - 1 y 1.
2
(a)
(b)
(c)
(d)
What is F(0.5,0.5)=P(X0.5,Y0.5)?
What are the marginal p.d.f. of X and Y?
What is the conditional
Moments and moment generating function are completely new to most of you. Therefore it is
worthwhile to spend more time and use more examples to understand them.
1. Moments:
Firstly, we explained mean, variance, skewness, are important quantities that can
1.1-2 Probability of insuring exactly 1 our. HA) = 0.]
Probability of mnunng more than I eat. H3) = 0.9
Pxobnbilily of insuring a sperm cu. P(C') = 0.25
P(B n C) = 0.10
P(AnC')=P(C)-P(Bn() =0.l = P(A)
PM A 0') = o.
1.1-4 (a) 82 cfw_1111111111. HHHHT. HHHT
STAT2001 Assignment 4
Do all 6 questions. Show your steps clearly.
Deadline for this assignment is 18th Nov. 5:00p.m. You can submit to the assignment locker
(next to LSB 125) or to your Tutors.
Q1. The random variables X and Y have the joint probability
A summary of the special distributions discussed:
For discrete distributions, we have learnt Binomial distribution, Hypergeometric
distribution, Poisson distribution, Geometric distribution, Negative Binomial distribution.
For continuous distributions, we
1. Example 3 on P.13 of chapter 5 notes can also be solved using distribution-function technique:
Y1
X1
, Y2 X 2 ;
X2
f X1 , X 2 ( x1 , x2 ) 2,0 x1 x2 1,
FY1 ,Y2 ( y1 , y 2 )
P (Y1 y1 , Y2 y2 )
P(
X1
y1 , X 2 y2 )
X2
P ( X 1 y1 X 2 , X 2 y2 )
y2 y1x2