Academic Year 2022/2023 Semester 2

Course Coordinator Pengyu Wei

Course Code BR3214
Course Title Financial and Risk Analytics II
Pre-requisites BR2211
No of AUs 3
Contact Hours 39 hours

Proposal Date 22/06/2022

A) Course Aims
As a continuation of BR2211, this course aims to introduce advanced data analytics models in the context of
finance and risk management. It discusses how these models work, how and when they can be used, and how
they should be interpreted, exemplified with real-world applications, such as predicting insurance losses,
assessing credit quality, etc. At the end of the course, you will be able to apply various data analytics techniques to
solve practical problems in finance and risk management. The course uses the open-source software R.

B) Intended Learning Outcomes (ILO)/Objectives

By the end of this course, you should be able to:
1. Describe various data analytic models
2. Formulate business problems in the data analytic framework
3. Analyse real-world datasets with data analytic techniques
4. Evaluate the performance of different data analytic models
5. Explain the results of different data analytic models

C) Course Content

• Regression: linear and generalized linear models, nonlinear models

• Classification
• Resampling and cross-validation
• Model selection and regularization
• Tree-based models: decision tree, random forests, and boosting
• Support vector machines
• Neural networks
• Unsupervised learning
• Case study

D) Assessment (includes both continuous and summative assessment)

Component ILO NBS Weighting Team/Individual Assessment Rubrics

Tested Learning
Goal (Refer (Please insert rubrics as
to Annex D Appendix)
for list)
1. Midterm quiz ILO1-5 Critical 30% Individual NA
Thinking,
Acquisition

1
 of
Knowledge
2. Individual project ILO1-5 Problem 60% Individual See Annex B
(written report Solving and
and in-class Decision-
presentation)* making,
Acquisition
of
Knowledge,
Oral &
Written
Communic
ation
3. Class ILO1-5 Critical 10% Individual See Annex C
participation Thinking,
Oral
Communic
ation
Total 100%

Important Notes:
* You will complete a project that involves real-world datasets. The marks will be based on the report and the
presentation.

E) Formative feedback

You will receive verbal feedback from me about your presentations. You will receive summative feedback on the
exam and project following the conclusion of the module.

F) Learning and Teaching approach

Approach How does this approach support you in achieving the learning outcomes?

Lectures The interactive lecture session explains key concepts in detail, supported by illustrating
examples. The lectures provide ample opportunities for open discussion on the conceptual
questions raised in the class, which allow you to think critically and share your ideas with
the class. The interaction between the instructor and the entire class ensures that the
targeted learning outcomes can be achieved.

In-Class activities Interactions are encouraged in class to enhance critical thinking and class engagement.
Instant feedback will be provided to in-class participation to ensure the learning goals can
be attained.

G) Reading and References

Basic Text

Gareth James, Daniela Witten, Trevor Hastie, and Robert Tibshirani. An Introduction to Statistical
Learning with Applications in R, Second Edition, 2021.

H) Course Policies and Student Responsibilities

2
(1) General

You are expected to complete all assigned pre-class readings and activities, attend all seminar classes punctually
and take all scheduled assignments and tests by due dates. You are expected to take responsibility to follow up
with course notes, assignments and course related announcements for seminar sessions they have missed. You
are expected to participate in all seminar discussions and activities.

(2) Absenteeism

Absence from class without a valid reason will affect your overall course grade. Valid reasons include falling sick
supported by a medical certificate and participation in NTU’s approved activities supported by an excuse letter
from the relevant bodies.

If you miss a lecture, you must inform the course instructor via email prior to the start of the class.

I) Academic Integrity

Good academic work depends on honesty and ethical behaviour. The quality of your work as a student relies on
adhering to the principles of academic integrity and to the NTU Honour Code, a set of values shared by the whole
university community. Truth, Trust and Justice are at the core of NTU’s shared values.

As a student, it is important that you recognize your responsibilities in understanding and applying the principles of
academic integrity in all the work you do at NTU. Not knowing what is involved in maintaining academic integrity
does not excuse academic dishonesty. You need to actively equip yourself with strategies to avoid all forms of
academic dishonesty, including plagiarism, academic fraud, collusion and cheating. If you are uncertain of the
definitions of any of these terms, you should go to the academic integrity website for more information. Consult
your instructor(s) if you need any clarification about the requirements of academic integrity in the course.

J) Course Instructors

Instructor Office Location Phone Email Consultation Hours

Pengyu Wei S3 B1A-03 6790 pengyu.wei@ntu.ed By appointment via email
5728 u.sg

K) Planned Weekly Schedule

Week Topic ILO Readings/ Activities

1 Introduction 1,2 Chapters 1-2
2 Regression 1-5 Chapter 3
3 Classification 1-5 Chapter 4
4 Resampling and 1-5 Chapter 5
Cross-validation
5 Model Selection and 1-5 Chapter 6
Regularization
6 Nonlinear Models 1-5 Chapter 7
7 Midterm Quiz 1-5 NA
Recess
8 Tree-based Models 1-5 Chapter 8
9 Support Vector 1-5 Chapter 9
Machines
10 Neural Networks 1-5 Chapter 10

3
11 Unsupervised 1-5 Chapter 12
Learning
12-13 Course Project 1-5 NA
Presentation

4
ANNEX B: ASSESSMENT CRITERIA FOR INDIVIDUAL PROJECT
Criteria
Pass
Fail standard High standard
Traits standard %
(40%-
(<40 %) (70%-100%)
69%)
The problem is not well- The problem is well-
defined formulated.
The problem is dealt with Various methods are used to
only a single method and In- analyse the dataset and their
Problem
its performance is not between performances are evaluated
Solving &
evaluated. and compared. 50
Decision-
Results are explained and
Making
Conclusions are not insightful conclusions are
meaningful within a made that are easy to
business context. understand in a business
Report context.
The report is well-structured
The report is difficult to
and easy to understand. The
understand and there are
writing is free of grammar
clerical errors.
errors.
Writing & Tables and figures are not In- Tables and figures are used to 20
Formatting used effectively. between support the main arguments.
References to the source of
There is no reference to
information are provided
the source of information.
whenever required.
Content is attention-getting
Content is erroneous or and provokes thinking and
irrelevant. contains accurate
information.
References to the source of References to the source of
information are not information are provided
provided. whenever required.
The material included is
In-
Content The material included is relevant to the overall 20
between
irrelevant or the amount of message/purpose. An
material is not appropriate. appropriate amount of
material is prepared.
Presentatio
The length of the
n The presentation is too
presentation is within the
short or excessively long.
assigned time limits.
Visual aids are not used Visual aids are well prepared,
effectively. informative, and effective.
The speaker speaks at
The vocal delivery is poor
appropriate speed and
and the speaker fails to
volume and maintains good
maintain good eye contact
In- eye contact with the
Communication with the audience. 10
between audience.
The speaker cannot handle The speaker handles queries
queries raised by the raised by the audience
audience appropriately. appropriately.
Total Points 100
5
ANNEX C: ASSESSMENT CRITERIA FOR CLASS PARTICIPATION

Performance
Traits
1-2 3-4 5

Student hardly focuses in Student occasionally engages in

Engagement Student engages fully
class (e.g. using mobile distracting activities (e.g. using
(40%) in class.
phone). mobile phone) in class.

Student never
Student frequently displays Student rarely
displays
disruptive and/or displays
Behavior disruptive or
disrespectful behavior disruptive or disrespectful behavior
(30%) disrespectful
during during
behavior
class. class.
during class.

Student never makes Student actively

Student occasionally makes
Contribution contributions or makes contributions
contributions that are meaningful
(30%) contributions are that are constructive
and relevant.
irrelevant. and insightful.