Schedule

ARF1, Fall 2026. Room 1309, Monday & Thursday 16:00 – 17:30; Zoom https://us02web.zoom.us/j/89528073415

Reading categories. Required readings are mandatory course preparation. Materials labeled Supplementary are optional resources intended to reinforce or extend the session.

Part 1

Session 1. Monday, August 3.

• Activity. Read the course syllabus (this document).
• Activity. Welcome and introduction to the course.
• Activity. Set up your free DataCamp account. Invitations have been sent to your UDEM student email.
• Activity. Define your team. Teams may have up to four members, or another maximum that I announce based on class enrollment.
• Bonus points. Group challenge. You must subscribe to the Ah, ya entendí YouTube channel by the end of this class session. We will verify the result in class. If every student in this class has subscribed by that time, I will award +5 bonus points to each student’s individual \(E_1\) mark.
• Optional. If you already have a Substack account, you may subscribe to Ah, ya entendí on Substack. This is not required. If you do not already have a Substack account, do not create one for this activity.

Session 2. Thursday, August 6.

• Activity. Read the course syllabus (this document).
• Activity. How DataCamp, DataLab, and RStudio work.

Session 3. Monday, August 10.

• Topic 1/3: Credit scoring models.
• Required reading. Lozano (2026), chapter 1: Logistic credit scoring (1/4).
• Required. Accept the course policies by completing this form using your UDEM email account. If you do not complete the form by the end of Friday, August 14, 5 points will be deducted from your individual \(E_1\) mark.

Session 4. Thursday, August 13.

• Required reading. Lozano (2026), chapter 1: Logistic credit scoring (2/4).
• Supplementary reading. Hull (2018), chapter 1: Introduction.
• Supplementary reading. Ruppert and Matteson (2015), chapter 11, sections 11.6: Binary Regression and 11.12.3: Binary Regression: Who Owns an Air Conditioner?.
• Supplementary short. Bitcoin frente al oro desde 2014.

Session 5. Monday, August 17.

• Required reading. Lozano (2026), chapter 1: Logistic credit scoring (3/4).
• Supplementary short. SPY vs libre de riesgo: invertir $1 desde 1998.

Session 6. Thursday, August 20.

• Required reading. Lozano (2026), chapter 1: Logistic credit scoring (4/4).
• Supplementary short. La paradoja de Parrondo en finanzas.
• Supplementary video. La paradoja de Parrondo.

Session 7, . Monday, August 24.

• Required reading. Lozano (2026), chapter 2: Tree-based credit scoring (1/3).
• Supplementary essay. Lozano (2026), El riesgo financiero y las formas del terror.

Session 8. Thursday, August 27.

• Required reading. Lozano (2026), chapter 2: Tree-based credit scoring (2/3).
• Supplementary video. Carteras de inversión: diseño y análisis.

Session 9. Monday, August 31.

• Required reading. Lozano (2026), chapter 2: Tree-based credit scoring (3/3).
• Supplementary video. Cartera óptima con rendimiento objetivo.

Session 10. Thursday, September 3.

• Graded. The Written component of \(H_1\) is due before class begins.
• Graded. Team Oral presentations for \(H_1\), with each student assessed individually: first of two presentation sessions.
• The deadline is not yet available, but please remember to complete the Avanza 180 survey.

Session 11. Monday, September 7.

• Graded. Team Oral presentations for \(H_1\), with each student assessed individually: second of two presentation sessions.

Session 12, . Thursday, September 10.

• Graded. Complete the Written component of \(E_1\) remotely during the scheduled class period.

Session 13. Monday, September 14.

• Graded. Team Oral defenses for \(E_1\): first of two defense sessions.

Session 14. Thursday, September 17.

• Graded. Team Oral defenses for \(E_1\): second of two defense sessions.
• Graded. The link to complete the coevaluation for \(E_1\) will be available on Blackboard. Deadline: Friday, September 18, 10:00 a.m.
• Bonus points. The wheel of fortune 1/3. This is a class activity.

Part 2

Session 15. Monday, September 21.

• Topic 2/3: Structural credit risk and market pricing.
• Required reading. Lozano (2026), chapter 3: The Merton model (1/2).

Session 16. Thursday, September 24.

• Required reading. Lozano (2026), chapter 3: The Merton model (2/2).
• Required reading. Hull (2022), chapter 24, sections 24.1: Credit ratings; 24.2: Historical default probabilities; and 24.6: Using equity prices to estimate default probabilities.
• Supplementary video. Estrategias de cobertura y especulación usando opciones financieras.

Session 17, . Monday, September 28.

• Required reading. Lozano (2026), chapter 4: Credit Spreads and CDS Valuation (1/3).
• Supplementary essay. Lozano (2026), Portafolio y existencia, asignar pesos bajo incertidumbre.

Session 18. Thursday, October 1.

• Required reading. Lozano (2026), chapter 4: Credit Spreads and CDS Valuation (2/3).
• Required reading. Hull (2022), chapter 24, sections 24.3: Recovery rates; 24.4: Estimating default probabilities from bond yield spreads; and 24.5: Comparison of default probability estimates; and chapter 25, sections 25.1: Credit default swaps and 25.2: Valuation of credit default swaps.
• Supplementary video. Mínima varianza global: pesos, riesgo y rendimiento.

Session 19. Monday, October 5.

• Required reading. Lozano (2026), chapter 4: Credit Spreads and CDS Valuation (3/3).
• Supplementary video. Mínima varianza con 5 y 10 industrias.

Session 20. Thursday, October 8.

• Graded. The Written component of \(H_2\) is due before class begins.
• Graded. Team Oral presentations for \(H_2\): first of two presentation sessions.

Session 21. Monday, October 12.

• Graded. Team Oral presentations for \(H_2\): second of two presentation sessions.

Session 22, . Thursday, October 15.

• Graded. Complete the Written component of \(E_2\) remotely during the scheduled class period.

Session 23. Monday, October 19.

• Graded. Team Oral defenses for \(E_2\): first of two defense sessions.

Session 24. Thursday, October 22.

• Graded. Team Oral defenses for \(E_2\): second of two defense sessions.
• Graded. The link to complete the coevaluation for \(H_2\) and \(E_2\) will be available on Blackboard. Deadline: Friday, October 23, 10:00 a.m.
• Bonus points. The wheel of fortune 2/3. This is a class activity.

Part 3

Session 25. Monday, October 26.

• Topic 3/3: Portfolio and climate credit risk.
• Required reading. Lozano (2026), chapter 5: The Gaussian copula model for portfolio credit risk (1/3).

Session 26. Thursday, October 29.

• Required reading. Lozano (2026), chapter 5: The Gaussian copula model for portfolio credit risk (2/3).
• Required reading. Hull (2022), chapter 24, sections 24.8: Default correlation and 24.9: Credit VaR.
• Supplementary reading. Ruppert and Matteson (2015), chapter 7, sections 7.5: The Multivariate Normal Distribution and 7.6: The Multivariate t-Distribution; chapter 8, sections 8.3: Gaussian and t-Copulas, 8.6: Tail Dependence, and 8.9.1: Simulating from Copula Models.
• Supplementary video. Fronteras eficientes en movimiento.

Session 27. Monday, November 2.

• Required reading. Lozano (2026), chapter 5: The Gaussian copula model for portfolio credit risk (3/3).
• The deadline is not yet available, but please remember to complete the Avanza 360 survey.

Session 28. Thursday, November 5.

• Required reading. Lozano (2026), chapter 6: Climate Credit Risk (1/3).
• Supplementary essay. Lozano (2026), Riesgo climático y la tragedia de los horizontes temporales.
• Optional, non-graded. Share your DataCamp experience on social media if you wish. Instructions.

Session 29, . Monday, November 9.

• Required reading. Lozano (2026), chapter 6: Climate Credit Risk (2/3).
• Supplementary reading. Hull (2018), chapter 22, sections 22.1: Generating the Scenarios; 22.2: Regulation; and 22.3: What to Do with the Results.
• Supplementary video. Animación del portafolio de mínima varianza: 5 activos.
• Supplementary video. Animación del portafolio de mínima varianza: 10 activos.

Session 30. Thursday, November 12.

• Required reading. Lozano (2026), chapter 6: Climate Credit Risk (3/3).
• Bonus points. Data Analyst Certification. Complete this DataCamp certification before 10:00 a.m. to earn +20 points on your individual \(E_F\) mark. DataCamp also offers a Data Analyst Associate certification, but that version does not satisfy this activity. It is not necessary to send evidence because DataCamp automatically records whether the required certification was completed on time.

Holiday. Monday, November 16.

Session 31, . Thursday, November 19.

• Activity. \(E_F\) review.
• Bonus points. The wheel of fortune 3/3. This is a class activity.
• Farewell .

The end

Final exam, . Thursday, November 26, 16:00–18:00.

• Graded. \(E_F\) Instructions in Blackboard.

Hull, John C. 2018. Risk Management and Financial Institutions. 5th ed. Prentice Hall.

Hull, John C. 2022. Options, Futures, and Other Derivatives. 11th ed. Prentice Hall.

Lozano, Martín. 2026. Credit Risk Modeling with R. Pre-print, GitHub Pages. https://mlozanoqf.github.io/tutorial_arf/.

Ruppert, David, and David S. Matteson. 2015. Statistics and Data Analysis for Financial Engineering with R Examples. 2nd ed. Springer New York. https://doi.org/10.1007/978-1-4939-2614-5.