L03 P2P Lending & Robo-Advisors8 lectures
MainP2P Lending & Robo-Advisors21 slides
- Information Problems in Finance
- Why Do the Riskiest Borrowers Want Loans the Most?
- What Happens After the Loan Is Signed?
- Can a Platform Replace a Bank -- and Who Bears the Risk?
- Peer-to-Peer Lending
- How Does a P2P Loan Go from Application to Repayment?
- Is Cutting Out the Bank Worth the Extra Risk?
- Credit Scoring and Data-Driven Lending
- How Does a Three-Digit Number Decide Your Financial Future?
- Learning Objectives
- How Much Regulation Should Replace Market Discipline?
- Can Your Phone Usage Predict Whether You'll Repay a Loan?
- What Are the Three Ways Machines Learn from Financial Data?
- What Does the Journey from Raw Data to Credit Decision Look Like?
- How Do Risk Grades Translate to Returns for Investors?
- Risk and Return Basics
- Why Do Higher Returns Always Come with Higher Risk?
- How Can Combining Risky Assets Reduce Overall Risk?
- Robo-Advisory Services
- Can an Algorithm Give Better Financial Advice than a Human?
- How Do Robo-Advisors Build an Optimal Portfolio?
- What Does a Conservative vs. Aggressive Portfolio Look Like?
- When Should You Choose a Robot Over a Human Advisor?
- Data-Driven Finance
- Do the Same ML Techniques Power All Financial Functions?
- Is Data Replacing Banks as the Financial Middleman?
- Summary
- Summary
Information Problems in FinancePeer-to-Peer LendingCredit Scoring and Data-Driven LendingRisk and Return BasicsRobo-Advisory ServicesData-Driven FinanceSummary
ExtendedCredit Scoring29 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- Feature Engineering for Credit
- Why Does Every Regulator Still Trust a Model Invented in the 1950s?
- Which Features Actually Drive Default Prediction -- and Which Are Just Noise?
- How Do You Turn Raw Transaction Data into Credit-Worthy Features?
- Can You Spot the Hidden Redundancy in Your Feature Matrix?
- How Do You Mathematically Prove a Feature Is Worth Including?
- What Happens When You Score Credit with Data the Borrower Never Knew You Had?
- Classification Models Compared
- Is There a Model That Is Both Accurate and Explainable -- or Must You Choose?
- Can You Build a Regulatory-Grade Credit Scorer in 18 Lines?
- What Does the Area Under the Curve Actually Measure -- and When Does It Lie?
- Where Is the Threshold That Balances Catching Defaults and Not Rejecting Good Borrowers?
- If You Can Only Review 10\% of Applications, How Many Defaults Will You Catch?
- How Do You Choose a Model When Accuracy, Fairness, and Explainability All Conflict?
- Model Validation \& Calibration
- When Your Model Says ``5\% Chance of Default,'' Does It Actually Mean 5\%?
- How Do You Fix a Model That Ranks Well but Assigns Wrong Probabilities?
- How Do You Compute and Plot an ROC Curve from Scratch?
- Does a Loan Originated in January Behave Differently from One in July?
- How Sensitive Is Your Model's Performance to Hyperparameter Choices?
- Fairness \& Bias Detection
- Can a Credit Model Be Fair to Everyone at the Same Time?
- Which Demographic Groups Are Being Disproportionately Denied Credit?
- How Do You Detect Whether Your Model Discriminates -- Before the Regulator Does?
- Can You See Exactly How Each Feature Pushes a Prediction Toward or Away from Default?
- Why Are SHAP Values the Only Mathematically Fair Way to Attribute Predictions?
- If You Make a Model Fairer, Do You Also Make It Less Accurate?
- Deployment \& Monitoring
- How Do You Mathematically Detect When Your Model's World Has Changed?
- Can You Build an Early Warning System for Model Drift in 18 Lines?
- When Did the Model Start Drifting -- and What Triggered Each Shift?
- Where Do Applicants Drop Out in the Credit Scoring Pipeline?
- How Often Should You Retrain a Credit Model -- and What Triggers a Rebuild?
(Introduction)Feature Engineering for CreditClassification Models ComparedModel Validation \& CalibrationFairness \& Bias DetectionDeployment \& Monitoring
MiniCredit Scoring10 slides
- (Slides)
- Why Can Your Phone's Data Predict Your Creditworthiness Better Than Your Credit Score?
- What If You Were Denied a Loan Because of How You Hold Your Phone?
- What Data Goes Into an Alternative Credit Score -- and What Should Be Off-Limits?
- Follow One Loan Application Through Three Scoring Models -- and Get Three Different Answers
- How Do You Build a Credit Scoring Pipeline from Raw Data to Default Probability?
- What Goes Wrong When the Training Data Reflects Historical Discrimination?
- Where Does Model Complexity Help and Where Does It Hurt?
- Who Benefits from Alternative Data -- Thin-File Borrowers or Predatory Lenders?
- The Scoring Evaluation Framework: Accuracy, Fairness, Explainability -- Pick Two?
- Your Challenge: Audit a Credit Model for Disparate Impact
(Slides)
LGData Driven Finance10 slides
- (Slides)
- Why Are Banks Replacing Bankers With Algorithms?
- Has an Algorithm Ever Said No to You Without Explaining Why?
- What Five Data-Driven Approaches Are Transforming Finance?
- Follow One Loan Application from Data Input to Automated Decision
- What Does the Machine Learning Pipeline Look Like Inside a Bank?
- What Happens When an Algorithm Discriminates and Nobody Notices?
- Where Have Data-Driven Techniques Reached Mainstream Adoption -- and Where Are They Still Emerging?
- Who Wins and Who Loses When Algorithms Replace Human Judgment?
- Four Questions That Reveal Whether a Data-Driven System Is Fair
- Your Challenge: Apply the ML Pipeline to Classify Sample Transactions
(Slides)
ExtendedP2P Lending27 slides
- (Slides)
- What Will You Be Able to Do After This Lecture?
- How Do Economists Formalize the Lemon Problem?
- What Is the Business Model of a P2P Lending Platform?
- Where Does Information Get Lost Between Borrower and Lender?
- How Does Logistic Regression Predict Default Probability?
- Building a Credit Scoring Model in 20 Lines of Python
- How Do You Choose the Right Threshold for Loan Approval?
- Why Is Missing a Default 10x Worse than Rejecting a Good Borrower?
- How Does the Model Find the Best Weights?
- What Separates a Raw Variable from a Predictive Feature?
- Transforming Raw Data into Credit Features in Python
- How Do You Measure Risk Mathematically?
- Why Does Correlation Between Assets Determine Diversification Benefit?
- How Do Robo-Advisors Find the Optimal Portfolio?
- Mean-Variance Portfolio Optimization in Python
- How Does Your Risk Tolerance Translate to an Asset Mix?
- What Happens When Your Portfolio Drifts from Its Target?
- How Much Does a 1.25\% Fee Difference Really Cost Over 30 Years?
- What Does `Fair' Actually Mean -- Mathematically?
- How Do Different Models Score on Fairness Across Groups?
- Auditing a Credit Model for Bias in Python
- What Do Regulators Demand from Algorithmic Lending?
- When Does an Algorithm Actually Outperform a Human Advisor?
- Automated Rebalancing: The Code Behind the Robo-Advisor
- When Alternative Data Crosses the Line: Three Real Cases
- Is Data Replacing Banks, or Just Creating New Middlemen?
- Key Takeaways
(Slides)
MiniP2P Lending10 slides
- (Slides)
- Why Would an Algorithm Designed to Help You Get a Loan Reject You for Where You Live?
- Have You Ever Been Judged by Data You Didn't Choose to Share?
- What Separates a Credit Score from an Algorithmic Verdict?
- Follow One Loan Application Through Three Different Scoring Models
- How Do You Build a Model That Is Both Accurate and Fair?
- What Happens When the Fair Model Costs More and the Accurate Model Discriminates?
- Where Is Algorithmic Lending Actually Expanding -- and Where Is It Contracting?
- Who Wins and Who Loses When Algorithms Replace Loan Officers?
- The Fairness Dial: Every Model Makes a Choice -- Where Do You Set It?
- Your Challenge: Audit a Credit Scoring Model for Bias
(Slides)
ExtendedRobo Advisor29 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- Modern Portfolio Theory Mathematics
- Why Is the Efficient Frontier Shaped Like a Parabola?
- What Does the Efficient Frontier Look Like in Three Dimensions?
- Can You Solve Markowitz Optimization in 18 Lines?
- Why Is Variance a Terrible Measure of Investment Risk?
- Which Input Error Hurts Your Portfolio the Most?
- Black-Litterman \& Robust Optimization
- How Do You Combine Market Consensus with Your Own Views?
- Can You Implement Black-Litterman in Python?
- How Does a Portfolio Drift Between Rebalancing Events?
- How Do Investor Views Shift the Return Distribution?
- What If You Equalize Risk Contribution Instead of Capital?
- Rebalancing, Tax Optimization \& Algorithms
- How Often Should You Rebalance -- and Can Math Answer This?
- Can You Build a Tax-Aware Rebalancing Engine?
- Which Tax-Loss Harvesting Opportunities Matter Most?
- When Do Behavioral Biases Push Portfolio Decisions Out of Control?
- Behavioral Finance \& Risk Profiling
- Why Do Investors Feel Losses Twice as Much as Gains?
- Can You Build a Risk Profiler That Accounts for Behavioral Bias?
- What Asset Mix Does Each Risk Profile and Time Horizon Demand?
- How Do Factor Strategies Differ Inside a Robo-Advisor?
- ESG Integration \& Fairness in Wealth Management
- Does Adding an ESG Constraint Always Cost You Returns?
- How Does an ESG Tilt Move Your Portfolio on the Risk-Return Plane?
- Can You Build an ESG-Aware Robo-Advisor Allocation?
- Can a Robo-Advisor Discriminate Without Knowing Your Race?
- How Should Your Portfolio Evolve as You Approach Retirement?
- Which Robo-Advisor Is Winning the AUM Race?
- Can You Simulate How Retirement Timing Risk Destroys Wealth?
- How Much Does the Fee Drag Actually Cost Over a Lifetime?
- What Have We Learned -- and What Remains Unsolved?
- Key Takeaways
(Introduction)Modern Portfolio Theory MathematicsBlack-Litterman \& Robust OptimizationRebalancing, Tax Optimization \& AlgorithmsBehavioral Finance \& Risk ProfilingESG Integration \& Fairness in Wealth Management
MiniRobo Advisor10 slides
- (Slides)
- What If Your Financial Advisor Could Never Panic?
- Would You Trust a Machine with Your Retirement?
- What Makes a Robo-Advisor Different from a Spreadsheet?
- How Does Betterment Turn Your Risk Score into a Portfolio?
- Why Does Modern Portfolio Theory Still Power Every Robo-Advisor?
- What Goes Wrong When the Algorithm Meets the Real World?
- How Big Is the Robo-Advisory Market -- and Who Is Winning?
- Who Gains Access and Who Loses Their Job?
- The Suitability Spectrum -- When Should You Use a Robot?
- Your Challenge -- Design a Robo-Advisor for Swiss Retirees
(Slides)
L04 RegTech & Compliance7 lectures
MainRegTech & Compliance18 slides
- Regulatory Technology (RegTech)
- Why Did Compliance Costs Explode After 2008?
- How Did Compliance Costs Grow Faster than Bank Revenue?
- Which Regulatory Problem Does Each RegTech Category Solve?
- Why Regulate Financial Markets?
- Why Can't We Just Let Financial Markets Regulate Themselves?
- What Happens When a Bank Is Too Big to Fail?
- Who Watches the Watchmen in Financial Regulation?
- Learning Objectives
- KYC and AML Processes
- Why Must Your Bank Know So Much About You?
- How Does Each KYC Step Reduce the Bank's Uncertainty?
- How Do Criminals Make Dirty Money Look Clean?
- Can AI Reduce the 95\% False Positive Rate in Transaction Monitoring?
- Why Does Privacy Law Clash with Anti-Money Laundering?
- Compliance Automation
- What Can Automation Handle -- and What Still Needs Human Judgment?
- Why Do Costs Keep Rising Despite RegTech?
- Regulatory Reporting and SupTech
- What Do Regulators Actually Need to See -- and Why?
- How Are Regulators Using the Same Technology as Banks?
- Implementing RegTech
- What Blocks Banks from Adopting RegTech?
- Summary
- Summary
Regulatory Technology (RegTech)Why Regulate Financial Markets?KYC and AML ProcessesCompliance AutomationRegulatory Reporting and SupTechImplementing RegTechSummary
ExtendedPrivacy Compliance30 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- GDPR Foundations \& Information Theory
- How Much Does Your Bank Know About You -- and Can We Measure It?
- How Much Information Does Each Data Field Carry -- Before and After Privacy Transforms?
- Can You Measure How Much a Privacy Transform Destroys?
- Can You Write the Regulatory Contradiction as a Math Problem?
- Differential Privacy
- What Does It Mean Mathematically to Guarantee Individual Privacy?
- Can You Add Privacy-Preserving Noise to an AML Query?
- How Much Accuracy Do You Sacrifice for Each Level of Privacy?
- How Fast Does Your Privacy Budget Run Out?
- How Do You Make a Privacy Budget Last Through Thousands of AML Queries?
- Anonymization Techniques
- When Is `Anonymous' Not Really Anonymous?
- Can You Build a k-Anonymity Engine for Financial Data?
- How Large Are the Equivalence Classes After k-Anonymization?
- How Many Linkage Rounds Does It Take to Re-Identify an `Anonymous' Customer?
- Privacy-Preserving Analytics
- Can You Do Math on Data You Cannot See?
- Can You See Homomorphic Encryption in Action -- Simplified?
- How Much Slower Is Privacy-Preserving Computation?
- Can Banks Train a Shared AML Model Without Sharing Any Data?
- How Does Federated AML Model Accuracy Converge Compared to Centralized?
- The Compliance Paradox \& Regulatory Engineering
- Is There a Sweet Spot Where Both GDPR and AML Are Satisfied?
- How Many Distinct Legal Bases Does a Single Customer Record Require?
- Can You Automate a GDPR-AML Retention Schedule?
- How Does Data Flow Through the Consent Architecture?
- Where Do GDPR, 6AMLD, ePrivacy, and DORA Overlap -- and Where Do They Conflict?
- Can Regulators Test the Paradox Before Banks Must Solve It?
- Does the EU AI Act Make the Privacy-Compliance Paradox a Trilemma?
- How Has Privacy Compliance Maturity Evolved Across European Banks?
- Can You Automate a Data Protection Impact Assessment?
- What Have We Learned -- and What Remains Unsolvable?
- What Are the Six Things Every Compliance Officer Must Remember?
(Introduction)GDPR Foundations \& Information TheoryDifferential PrivacyAnonymization TechniquesPrivacy-Preserving AnalyticsThe Compliance Paradox \& Regulatory Engineering
MiniPrivacy Compliance10 slides
- (Slides)
- Why Does the EU Tell Banks to Collect Everything AND Collect Nothing?
- Have You Ever Been Asked to Do Two Contradictory Things by the Same Boss?
- What Makes Privacy-Preserving Compliance Different from Regular Compliance?
- What Happens to One Customer's Data in the GDPR-AML Collision?
- How Do You Build a System That Knows Everything but Remembers Nothing?
- What Goes Wrong When Privacy Technology Fails in a Compliance System?
- Which Countries Lead in Privacy-Preserving Compliance -- and Which Are Still Stuck?
- Who Wins and Who Loses When Privacy Meets Compliance?
- The Privacy-Compliance Dial -- Where Should Your Institution Sit?
- Can You Design a GDPR-Compliant AML System?
(Slides)
ExtendedRegtech27 slides
- (Slides)
- What Will You Be Able to Do After This Lecture?
- How Do Economists Model the Regulator-Bank Relationship?
- How Much Have Banks Paid for Getting Compliance Wrong?
- Where Does the Compliance Budget Actually Go?
- Why Has SAR Volume Quadrupled While Crime Detection Stayed Flat?
- How Many Transactions Does It Take to Produce One Conviction?
- Building a Rule-Based AML Monitor in Python
- Can a 130-Year-Old Math Formula Catch Modern Financial Criminals?
- Implementing Benford's Law Analysis in Python
- Why Can't Individual Transaction Monitoring See Corporate Networks?
- Building a Shell Company Detection Pipeline in Python
- How Can Machines Read 30,000 Pages of Financial Regulation?
- Parsing Regulatory Text with TF-IDF in Python
- When the Model Says 80\% Risk, How Often Is It Actually Right?
- Is RegTech a Trend or a Structural Transformation?
- Are Regulators Practicing What They Preach About Technology?
- Is It Cheaper to Comply or to Pay the Fine?
- How Do You Model Customer Risk as a Bayesian Inference Problem?
- How Does an ML Model Decide What Looks `Abnormal'?
- What Language Do Machines Use to Talk to Regulators?
- Why Is the EU Now Regulating Banks' Cloud Providers?
- Generating Regulatory Reports Programmatically
- What Does the EU AI Act Mean for Your AML Model?
- What Happens When the Compliance Model Itself Is Wrong?
- Should Your Bank Build Its Own RegTech or Buy Off-the-Shelf?
- Is Compliance Moving Toward Continuous Monitoring or Just Continuous Reporting?
- Key Takeaways
(Slides)
MiniRegtech10 slides
- (Slides)
- Why Does Filing Two Million Suspicious Activity Reports Still Miss 98\% of Money Laundering?
- Have You Ever Searched Through So Much Information That You Stopped Finding Anything?
- What Separates Watching Everything from Understanding Anything?
- Follow One Suspicious Transaction Through Three Compliance Systems
- How Do You Build a System That Sees the Needle Without Drowning in the Haystack?
- What Happens When the Compliance System Becomes the Risk?
- Where Is Smart Regulation Actually Working -- and Where Is It Just More Paperwork?
- Who Wins and Who Loses When Compliance Goes Algorithmic?
- The Transparency Dial: How Much Oversight Is Enough -- and When Does More Become Less?
- Your Challenge: Design a RegTech System That Reports Less but Detects More
(Slides)
ExtendedSanctions Screening29 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- Sanctions Architecture \& Data Sources
- Why Does ``Muhammad Al-Rashid'' Match ``Muhd El Rasheed''?
- How Much Do OFAC, EU, and UN Sanctions Lists Overlap?
- Can You Implement Jaro-Winkler Without Any String Library?
- Where Does the Ambiguous Zone Between True and False Matches Fall?
- What Is the Minimum Number of Edits to Turn One Name Into Another?
- What Are the Four Major Sanctions and Risk Databases Banks Must Screen?
- Fuzzy Matching \& NLP for Name Screening
- Which Name Pairs Fall Into the Ambiguous Matching Zone?
- How Do You Build the Levenshtein DP Matrix Step by Step?
- Which Node in a Transaction Network Is Most ``Central'' to Illicit Flows?
- Do High-Centrality Nodes Also Have High Transaction Volume?
- How Do Shell Companies Move \$10M Across Jurisdictions in Three Layers?
- What Are the Three Families of Name Normalization for Multilingual Screening?
- Graph Analytics for Transaction Networks
- How Has the Alert Composition Changed as Graph Analytics Was Adopted?
- How Does PageRank Propagate Suspicion Through a Transaction Network?
- How Do You Implement PageRank on an Adjacency Matrix in 18 Lines?
- Does ML Re-Ranking Promote the Highest-Risk Alerts to the Top of the Queue?
- Can a 2D Contour Map Reveal Transaction Patterns Invisible to Threshold Rules?
- Alert Triage \& Machine Learning
- How Does Bayes' Theorem Transform Raw Alert Features Into a Risk Score?
- Which Features Drive the Most Variance in False Positive Investigation Cost?
- Does Your Transaction Dataset Follow Benford's Law -- or Is Someone Gaming It?
- Where Does Your Screening Engine Sit on the Precision-Recall Frontier?
- What Threshold Minimizes the Total Expected Cost of Sanctions Screening?
- How Does a Human-in-the-Loop ML Triage System Cut Investigation Time in Half?
- De-Risking \& Financial Exclusion
- What First-Digit Distribution Should Naturally-Occurring Amounts Follow?
- How Do You Build a Lightweight Transliteration Normalizer for Arabic Names?
- Which Remittance Corridors Have Lost the Most Bank Coverage Since 2015?
- How Much Does Sanctions Screening Cost Across Bank Size Tiers -- Per Transaction?
- Can Shared Infrastructure Solve the De-Risking Paradox Without Raising Risk?
(Introduction)Sanctions Architecture \& Data SourcesFuzzy Matching \& NLP for Name ScreeningGraph Analytics for Transaction NetworksAlert Triage \& Machine LearningDe-Risking \& Financial Exclusion
MiniSanctions Screening10 slides
- (Slides)
- Why Does Every Bank Spend \$500M on Compliance and Still Miss Sanctions Violations?
- What If Your Wire Transfer Were Frozen for Three Weeks Because Your Name Matches a Sanctioned Person?
- What Is the Difference Between a Sanctions List, a Watch List, and a PEP Database?
- Follow One Wire Transfer Through the Screening Engine -- and Count the False Alarms?
- How Does Fuzzy String Matching Find `Mohammad' When the List Says `Muhammed'?
- What Happens When the Screening System Learns to Ignore Alerts -- and Misses a Real One?
- Where Does Screening Accuracy Break Down -- and What Drives False Positive Rates?
- Who Pays the Cost of Over-Screening -- Banks, Customers, or Entire Countries?
- The Screening Optimization Framework: How Do You Tune for Risk Without De-Banking the Innocent?
- Your Challenge: Redesign an Alert Triage Workflow to Cut False Positives by 50\%
(Slides)
L05 Blockchain Fundamentals10 lectures
MainBlockchain Fundamentals21 slides
- The Trust Problem in Digital Transactions
- Why Is Trust the Most Expensive Ingredient in Finance?
- Why Can't You Copy-Paste a Digital Dollar?
- How Does Blockchain Make Digital Things Scarce?
- Learning Objectives
- Blockchain Technology
- Is a Blockchain a Database or a Trust Machine?
- How Does Changing One Block Break the Entire Chain?
- What Happens Between Clicking ``Send'' and Confirmation?
- Consensus Mechanisms
- How Do Strangers Agree When Some of Them Are Liars?
- Why Does Bitcoin Burn More Energy than Argentina?
- Can Economic Bonds Replace Energy as a Security Mechanism?
- Which Consensus Mechanism Wins -- and What Does It Sacrifice?
- Types of Blockchains
- When Should You Use a Public vs. Private Blockchain?
- How Do You Choose the Right Blockchain for a Financial Use Case?
- Smart Contracts and Tokens
- What If Contracts Could Enforce Themselves?
- Why Does It Matter Whether a Token Is a Security or a Utility?
- What Can Go Wrong with Smart Contracts and Blockchains?
- How Can Layer 2 Solutions Break the Scalability Trilemma?
- Can You Prove Something Without Revealing What You Know?
- Blockchain in Financial Services
- Where Does Blockchain Actually Reduce Costs in Finance?
- Why Hasn't Blockchain Replaced Traditional Finance Yet?
- Summary
- Summary
The Trust Problem in Digital TransactionsBlockchain TechnologyConsensus MechanismsTypes of BlockchainsSmart Contracts and TokensBlockchain in Financial ServicesSummary
ExtendedBlockchain27 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- Cryptographic Foundations
- Why Is a Hash Function the Foundation of All Blockchain Security?
- How Does a Merkle Tree Let You Verify One Transaction Without Downloading the Whole Chain?
- Can You Build a Working Hash Chain in 20 Lines of Python?
- Consensus Mechanisms -- Game Theory
- What Makes Proof of Work a Game -- and What Is the Nash Equilibrium?
- How Much Energy Does Trust Cost -- and When Did the Price Change?
- Can You Simulate a Proof-of-Work Mining Race?
- When Does Staking Your Own Money Make You More Honest Than Spending Electricity?
- How Sensitive Are Consensus Mechanisms to Parameter Changes?
- Which Blockchain Can Actually Handle Visa-Scale Transactions?
- The Scalability Trilemma
- Why Can You Only Have Two of Three -- and Can You Prove It?
- Where Do Major Blockchains Sit on the Trilemma Triangle?
- Can You Build a Merkle Tree and Verify a Transaction Proof?
- How Much Does It Cost to Use Ethereum -- and What Drives the Price?
- Smart Contracts and Security
- How Do You Formally Model a Smart Contract as a State Machine?
- Can You Simulate a Simple Smart Contract in Python?
- Does Bitcoin Hashrate Follow Price -- or Does Price Follow Hashrate?
- How Long Do You Actually Wait for a Block?
- Advanced Topics -- ZKPs, Forks, DeFi Infrastructure
- How Do Zero-Knowledge Proofs Work -- and What Do They Actually Prove?
- Can You Verify a Zero-Knowledge Proof Without Understanding the Math?
- How Did Bitcoin Become 100 Blockchains?
- Where Is the Money in DeFi -- and How Concentrated Is It?
- What Is the Formal Security Bound of a 51\% Attack?
- How Fast and Small Can a Zero-Knowledge Proof Get?
- What Have We Learned -- and What Remains Unsolved?
- Key Takeaways
- References and Further Reading
(Introduction)Cryptographic FoundationsConsensus Mechanisms -- Game TheoryThe Scalability TrilemmaSmart Contracts and SecurityAdvanced Topics -- ZKPs, Forks, DeFi Infrastructure
MiniBlockchain10 slides
- (Slides)
- Why Would You Trust a Network of Strangers with Your Money?
- When Was the Last Time You Thought About Who You Trust with Your Money?
- What Does Blockchain Actually Replace -- and What Does It Keep?
- Follow One Bitcoin from Alice to Bob -- Where Does Trust Enter?
- What Do You Sacrifice to Get Consensus -- Energy, Capital, or Control?
- What Happens When the Code Is the Contract -- and the Code Has a Bug?
- Where Does Blockchain Actually Save Money in Finance?
- Who Wins and Who Loses When You Remove the Middleman?
- The Trust Spectrum: Every Blockchain Design Tips the Balance
- Your Challenge: Evaluate a Blockchain Proposal
(Slides)
ExtendedComposability29 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- Protocol Composability Fundamentals
- What Does the DeFi Dependency Graph Actually Look Like?
- How Do You Formalize the Concept of Protocol Composability?
- How Many Layers Deep Can You Stack DeFi Protocols?
- What Are the Fundamental Building Blocks of Composable DeFi?
- Why Is the ``Money Lego'' Metaphor Both Powerful and Dangerous?
- Flash Loans \& Atomic Transactions
- Why Can Flash Loans Exist Without Any Collateral?
- How Fast Has Flash Loan Usage Grown Since 2020?
- Can You Calculate Whether a Flash Loan Arbitrage Is Profitable?
- What Are the Five Categories of Flash Loan Exploits?
- What Does a Composability Failure Cascade Look Like in Practice?
- Yield Aggregation \& Protocol Stacking
- How Is DeFi's Total Value Locked Distributed Across Protocol Layers?
- Where Does Your Money Actually Go When You Deposit Into a Yield Aggregator?
- Can You Stack Yields or Do Risks Stack Faster Than Returns?
- How Much Does Each Composability Layer Cost in Gas Fees?
- Can You Simulate Whether Yield Stacking Beats Simple Strategies?
- Oracle Dependencies \& Systemic Risk
- Which Oracle Controls the Most DeFi Capital -- and What If It Fails?
- How Do You Model the Probability of an Oracle-Driven Cascade?
- How Correlated Are DeFi Protocols -- and Does Diversification Actually Work?
- Can You Build a Real-Time Oracle Manipulation Detection System?
- How Do You Quantify Systemic Risk in a Composable Protocol Stack?
- Why Does Integration Complexity Grow Exponentially With Protocol Count?
- Future of Composable Finance
- What Were the Key Moments That Shaped DeFi Composability?
- Can DeFi Build Circuit Breakers Without Destroying Composability?
- Will Regulators Force Composability Into Walled Gardens?
- Does Cross-Chain Composability Solve the Problem or Double the Risk?
- Can You Simulate Cascading Failures Across a Composable Protocol Stack?
- What Have We Learned About the Composability Paradox?
- What Are the Six Composability Lessons Every DeFi Participant Must Know?
(Introduction)Protocol Composability FundamentalsFlash Loans \& Atomic TransactionsYield Aggregation \& Protocol StackingOracle Dependencies \& Systemic RiskFuture of Composable Finance
MiniComposability10 slides
- (Slides)
- Why Can a Developer with Zero Capital Steal \$200 Million in a Single Transaction?
- What If Anyone Could Rearrange the Legos in Your Financial Life -- Without Asking?
- What Are Money Legos -- and When Do They Become Money Grenades?
- Follow a Flash Loan Attack: How \$0 Became \$8.1 Million in 15 Seconds
- How Do Protocols Defend Against Attacks That Chain Through Other Protocols?
- What Happens When One Broken Oracle Brings Down an Entire Ecosystem?
- Where Do Flash Loan Attacks Hit Hardest -- and Which Chains Are Most Vulnerable?
- Who Profits from the Money Lego Economy -- and Who Pays the Hidden Tax?
- The Composability Spectrum: How Much Openness Is Too Much Openness?
- Your Challenge: Trace a Composability Chain and Identify the Weakest Link
(Slides)
LGBlockchain Fundamentals10 slides
- (Slides)
- Why Did Someone Invent a System Designed to Make Banks Unnecessary?
- How Many Intermediaries Do You Trust With Your Money Right Now?
- What Makes a Blockchain Different from a Regular Database?
- Follow One Bitcoin Transaction from Send Button to Confirmed Block
- How Does a Chain of Blocks Become Tamper-Proof?
- What Happens When a ``Trustless'' System Requires You to Trust the Wrong People?
- Where Is Blockchain Actually Being Adopted in Finance?
- Who Wins and Who Loses When a Database Replaces an Institution?
- Four Questions That Reveal Whether a Use Case Actually Needs a Blockchain
- Should the Swiss Land Registry Use Blockchain?
(Slides)
ExtendedSmart Contracts29 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- Solidity Fundamentals \& Gas Economics
- How Does a Stack Machine Execute Your Smart Contract -- and Why Does Every Instruction Have a Price?
- How Much Does Each Type of Computation Cost on Ethereum?
- Can You Cut a Smart Contract's Gas Cost in Half with Three Tricks?
- Vulnerability Taxonomy \& Formal Verification
- What Are the Species in the Smart Contract Vulnerability Zoo?
- Why Is Reentrancy a Cycle in the Call Graph -- and How Do You Prove Its Absence?
- Can You Build a Reentrancy Detector in 15 Lines of Python?
- How Good Are Automated Tools at Finding Smart Contract Bugs?
- AMM Mathematics \& Liquidity
- Why Does x Times y Equals k Actually Work as a Market?
- How Much Do Liquidity Providers Actually Lose -- and Is It Really ``Impermanent''?
- When Do AMMs Generate the Most Revenue -- and Who Captures It?
- When Do Liquidity Providers Actually Make Money?
- Can You Simulate a Constant Product AMM and Calculate Impermanent Loss?
- Flash Loans \& MEV
- What Is the Formal Profit Condition for a Flash Loan Attack?
- What Does a Flash Loan Attack Look Like from the Inside?
- What Is the Nash Equilibrium of the Sandwich Attack Game?
- Can You Simulate a Sandwich Attack and Calculate the Optimal Frontrun Size?
- How Much Value Do MEV Bots Extract -- and Which Strategies Dominate?
- What Does a Sandwich Attack Look Like Inside a Block?
- Governance, Oracles \& Composability Risk
- What Does It Cost to Buy a Vote in a Decentralized Democracy?
- Which Protocols Are Most Vulnerable to Governance Attacks -- and How?
- Can You Detect When an Oracle Price Feed Is Being Manipulated?
- What Happens When One Corrupted Price Feed Cascades Through DeFi?
- How Do You Quantify the Risk of Interconnected Protocols Failing Together?
- How Fast Does Risk Grow as You Stack More Protocols Together?
- Can You Simulate a Cascading Failure in a Composable Protocol Stack?
- What Have We Learned -- and What Remains Unsolved in DeFi Engineering?
- What Are the Six Engineering Lessons Every DeFi Developer Must Internalize?
- References and Further Reading
(Introduction)Solidity Fundamentals \& Gas EconomicsVulnerability Taxonomy \& Formal VerificationAMM Mathematics \& LiquidityFlash Loans \& MEVGovernance, Oracles \& Composability Risk
MiniSmart Contracts10 slides
- (Slides)
- Why Did a Single Missing Keyword Cost Ethereum \$60 Million?
- Would You Sign a Contract That Can Never Be Changed -- Not Even to Fix a Typo?
- What Makes a Smart Contract Smart -- and What Makes It Dangerous?
- Follow the DAO Hack: How 3.6 Million Ether Disappeared in Broad Daylight
- How Do Developers Build Upgradeable Systems on an Immutable Platform?
- What Breaks When the Bridge Between Blockchain and Reality Has a Bug?
- Where Are Smart Contracts Actually Reducing Costs -- and Where Are They Adding Risk?
- Who Wins and Who Loses When Code Replaces Contracts?
- The Immutability Dial: How Much Permanence Is Too Much?
- Your Challenge: Audit a Smart Contract and Find the Vulnerability
(Slides)
ExtendedTokenization29 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- Token Taxonomy \& Standards
- Does the Quantity Theory of Money Apply to Token Economies?
- Which Token Standard Is Right -- and What Are You Sacrificing?
- Can You Simulate an ERC-20 Token: Balances, Transfer, and Allowance?
- How Much Does Tokenization Lower the Minimum Investment Threshold?
- What Are the Formal Rights of a Fractional Token Holder?
- What Decision Tree Should a Token Issuer Follow to Select the Right Standard?
- Legal Architecture of Tokenized Securities
- Which Asset Classes Remain Illiquid Even After Tokenization?
- How Do You Split a Real Estate Asset into 10{,
- How Much Is Illiquidity Worth -- and What Does the Longstaff Model Predict?
- Where Does the Money Go? Anatomy of Tokenization Fees
- Which Jurisdictions Have a Workable Regulatory Framework for Tokenized Securities?
- What Legal Structure Sits Between the Token and the Physical Asset?
- Fractional Ownership \& Market Microstructure
- How Fast Is the Real-World Asset Tokenisation Market Growing?
- Can a Single Formula Replace the Order Book in a Tokenized Asset Market?
- How Does a Real Estate AMM React to a Large Block Trade?
- Do Larger Tokenized Asset Markets Automatically Generate More Liquidity?
- By How Much Does Tokenization Narrow the Illiquidity Discount Over Time?
- Valuation \& Pricing of Tokenized Assets
- How Does a Walrasian Auction Find the Clearing Price in a Thin Market?
- Which Institutions Are Leading the Tokenization Race -- and How Fast Are They Growing?
- How Do You Distribute Dividends to 10{,
- Are Tokenized Assets Equally Distributed -- or Is Ownership Concentrated?
- What Is the Formal Definition of the Gini Coefficient for a Token Distribution?
- Why Is Valuing a Tokenized Illiquid Asset Harder Than Valuing Its Underlying?
- Regulatory Frameworks \& Institutional Adoption
- Can You Write the Howey Test as a Boolean Predicate?
- How Does an ERC-1400 Smart Contract Enforce Investor Whitelisting?
- How Much Does It Cost to Audit a Tokenized Security Smart Contract?
- What Happens to Settlement Times When Assets Move On-Chain?
- What Needs to Happen Before Tokenized Assets Reach \$10 Trillion?
(Introduction)Token Taxonomy \& StandardsLegal Architecture of Tokenized SecuritiesFractional Ownership \& Market MicrostructureValuation \& Pricing of Tokenized AssetsRegulatory Frameworks \& Institutional Adoption
MiniTokenization10 slides
- (Slides)
- Why Can You Buy 0.001 Bitcoin but Not 0.001 of a Skyscraper?
- What If You Could Sell 10\% of Your Home Equity to Pay for Grad School?
- What Is the Difference Between a Token, a Security, and a Digital Twin?
- Follow One Tokenized Bond from Issuance to Secondary Market Trade
- How Do You Represent a Legal Claim on a Physical Asset as a Blockchain Token?
- What Happens to Your Token When the Real-World Asset Burns Down?
- Where Is Real-World Asset Tokenization Growing -- and Which Asset Classes Lead?
- Who Wins When Illiquid Assets Become Tradeable -- Issuers, Investors, or Intermediaries?
- The Tokenization Readiness Checklist: When Does Tokenization Add Value vs Complexity?
- Your Challenge: Design a Tokenized Fund for an Illiquid Asset Class
(Slides)
L06 Financial Markets & Trading Infrastructure10 lectures
MainFinancial Markets & Trading Infrastructure21 slides
- (Introduction)
- Is Speed an Unfair Advantage in Trading?
- What Does a Real-Time Map of Supply and Demand Look Like?
- Who Are the Players in a Financial Market?
- Learning Objectives
- Why Financial Markets Exist
- Why Do Financial Markets Exist at All?
- Why Can Asset Demand Rise When Prices Rise?
- Can Anyone Consistently Beat the Market?
- How Do Derivatives Enable the Transfer of Risk?
- What Role Did Derivatives Play in the 2008 Financial Crisis?
- Market Structure and Order Execution
- When Is a Centralized Exchange Better than Bilateral Trading?
- How Do You Choose Between Price Certainty and Execution Speed?
- What Determines Which Orders Execute First?
- How Does Regulation Prevent Brokers from Cheating Clients?
- Trading Technology
- Can Satellite Photos and Credit Card Data Predict Stock Prices?
- Which Market Trades 7.5 Trillion Dollars Every Day?
- Clearing and Settlement
- What Happens After You Click ``Buy''?
- How Does a CCP Become the Buyer to Every Seller?
- Why Does Settling a Trade Still Take Two Days?
- Digital Transformation
- Is Commission-Free Trading Really Free?
- Can Blockchain Finally Deliver Instant Settlement?
- Summary
- Summary
(Introduction)Why Financial Markets ExistMarket Structure and Order ExecutionTrading TechnologyClearing and SettlementDigital TransformationSummary
ExtendedAlgo Trading29 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- Optimal Execution Theory
- Why Does Slicing a Large Order into Pieces Save Money?
- How Does Intraday Volume Shape the Optimal Execution Schedule?
- What Is the True Cost of Executing a Large Order?
- Can You Compute the Optimal Execution Trajectory in 20 Lines?
- Market Impact \& the Almgren-Chriss Model
- What Shape Does the Optimal Execution Path Take?
- Where Is the Sweet Spot Between Execution Cost and Execution Risk?
- How Much of Your Execution Cost Is Permanent vs Temporary?
- How Quickly Does Market Impact Fade After a Large Trade?
- Can You Build a VWAP Engine That Adapts to Live Volume?
- HFT Strategies \& Market Making
- How Does a Market Maker Set the Optimal Bid-Ask Spread?
- How Does a Market Maker's Inventory Drive Their Quotes?
- How Much Money Does a Microsecond of Speed Advantage Generate?
- At What Point Does Faster Hardware Stop Paying for Itself?
- Can You Simulate a Market Maker's Day in 20 Lines?
- Smart Order Routing \& Transaction Cost Analysis
- Where Did the Money Go Between Decision and Execution?
- Which Component of Transaction Cost Eats Most of Your Alpha?
- Can You Build an Implementation Shortfall Calculator?
- Why Does Your Broker Route Orders to One Exchange Instead of Another?
- How Do You Mathematically Optimize Where to Send Each Child Order?
- Can You Build a Simple Smart Order Router?
- Backtesting, Overfitting \& Regulation
- How Many Backtests Does It Take to Find a Strategy That Only Looks Good?
- How Do You Tell a Genuine Edge from a Backtest Mirage?
- Why Do Brilliant Backtests Fail in Live Trading?
- Can You Compute the Probability Your Backtest Is Overfitted?
- What Does MiFID II Require from Every Algorithm That Trades in Europe?
- How Does a Smart Order Router Choose Between Lit Exchanges and Dark Pools?
- How Has Regulation Evolved to Keep Pace with Algorithmic Trading?
- References and Further Reading
(Introduction)Optimal Execution TheoryMarket Impact \& the Almgren-Chriss ModelHFT Strategies \& Market MakingSmart Order Routing \& Transaction Cost AnalysisBacktesting, Overfitting \& Regulation
MiniAlgo Trading10 slides
- (Slides)
- Why Did We Build Machines That Trade Faster Than We Can Think?
- How Many Algorithms Touched Your Last Investment Before You Even Saw the Price?
- What Separates a Helpful Execution Tool from an Autonomous Trading Machine?
- Follow One VWAP Order from Portfolio Manager to Execution Across Six Hours
- How Does a Human-Driven Trading Desk Differ from an Algorithmic One?
- What Happens When an Algorithm Crashes the Market in 36 Minutes?
- How Did Algorithms Go from Executing Orders to Dominating Markets?
- Who Wins and Who Loses When Machines Replace Human Traders?
- Four Questions That Reveal Whether an Algorithmic System Helps or Harms the Market
- Your Challenge: Evaluate an Algorithmic Trading Strategy
(Slides)
ExtendedFinancial Markets28 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- Market Microstructure
- How Does the Order Book Turn Individual Intentions into a Market Price?
- What Does the Full Depth of Supply and Demand Look Like?
- Can You Simulate Price Discovery in 25 Lines of Python?
- How Much Does Your Order Move the Market -- and Can You Predict It?
- When Is the Market Most Liquid -- and When Should You Avoid Trading?
- Market Efficiency and Price Formation
- How Do You Statistically Test Whether a Market Is Efficient?
- Can You Test Market Efficiency in 20 Lines of Python?
- Are Stock Returns Really Normally Distributed -- or Is That a Dangerous Assumption?
- What Fraction of Trades Are Truly Large -- and Why Does the Distribution Matter?
- Do Markets Move Together -- and When Does Diversification Fail?
- Trading Infrastructure
- How Much Is One Microsecond Worth in the Latency Arms Race?
- Can You See the Speed of Markets -- and the Gaps Between Trades?
- Can You Build a VWAP Execution Algorithm That Beats the Benchmark?
- Where Have All the Trades Gone -- and Why Are They Spread Across So Many Venues?
- How Do Dark Pools Match Orders Without Revealing Prices?
- Post-Trade and Settlement
- How Does a CCP Turn 1,000 Bilateral Exposures into 50 Net Positions?
- What Happens to Your Collateral If a CCP Member Defaults?
- Can You Calculate How Much Collateral a CCP Saves the Market?
- Which Countries Settled Fastest -- and Who Is Still Waiting?
- Digital Markets and Regulation
- Is Commission-Free Trading Really Free -- or Does Someone Else Pay the Price?
- When Do Retail Traders Trade -- and How Does It Differ from Institutions?
- Can You Measure Whether Your Broker Gave You Best Execution?
- How Does Tokenization Change the Economics of Owning and Trading Securities?
- How Many Retail Investors Entered the Market -- and What Changed?
- What Have We Learned -- and What Remains Unsolved?
- Key Takeaways
- References and Further Reading
(Introduction)Market MicrostructureMarket Efficiency and Price FormationTrading InfrastructurePost-Trade and SettlementDigital Markets and Regulation
MiniFinancial Markets10 slides
- (Slides)
- Why Did We Automate Markets If Speed Creates Fragility?
- Where Were You When \$1 Trillion Vanished in 36 Minutes?
- What Makes Modern Markets Tick -- Order Books, Engines, and Data?
- What Happens When Retail Traders Meet Market Microstructure -- GameStop 2021?
- How Did Electronic Trading Reshape Both Volume and Trade Size Simultaneously?
- What Systemic Risks Does a Hyper-Connected Market Create That a Slow One Did Not?
- Where Are Financial Markets Heading -- AI, DeFi, and the Race to T+0?
- What Changes When Markets Never Close and Prices Never Rest?
- How Did Regulators Respond When Markets Moved Faster Than Their Rule Books?
- Your Challenge: Design a Circuit Breaker for a Market That Never Closes?
(Slides)
LGTraditional Infrastructure10 slides
- (Slides)
- Why Does Your Bank Run on Software Written Before You Were Born?
- What Invisible Infrastructure Sits Between Your Paycheck and Your Bank Balance?
- What Five Systems Form the Backbone of Global Finance?
- Follow Your Salary From Your Employer's Account to Your Bank Balance
- What Does a Core Banking System Actually Look Like Inside?
- What Happens When Fifty-Year-Old Infrastructure Finally Breaks?
- How Fast Is Each Layer of Financial Infrastructure -- and Why Does It Matter?
- Who Wins and Who Loses as Legacy Infrastructure Gets Replaced?
- Four Questions That Reveal Whether Your Bank's Infrastructure Is a Strength or a Liability
- Should a Mid-Sized Swiss Bank Migrate to Cloud or Keep the Mainframe?
(Slides)
ExtendedMicrostructure31 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- Order Book Architecture
- How Does a Limit Order Book Match Buyers and Sellers?
- Can the Shape of the Order Book Predict Where Prices Are Heading?
- What Does Order Book Imbalance Look Like Through Time?
- Can You Rebuild an Order Book from a Raw Message Feed?
- Which Venue Actually Discovers the True Price?
- How Does Each Trade Permanently Shift the Price?
- Spread Decomposition \& Information Content
- Why Must the Spread Exist Even Without Any Operating Costs?
- How Does the Composition of the Spread Change Across Stock Types?
- How Do Econometricians Separate the Three Spread Components?
- Why Do Larger Trades Carry More Information About the True Value?
- How Does Information Asymmetry Scale with Company Size?
- Can You Estimate the Adverse Selection Component from Trade Data?
- Market Making \& Liquidity Provision
- What Is the Market Maker's Fundamental Optimization Problem?
- What Does a Market Maker's P\&L Actually Look Like?
- Does Making the Minimum Price Increment Smaller Help or Hurt Traders?
- Why Is Liquidity Worst When You Need It Most?
- Can You Simulate a Market Maker's Quoting Strategy?
- Do All Trading Venues Attract Equally Informed Order Flow?
- Dark Pools \& Venue Fragmentation
- Why Would Anyone Want to Trade in the Dark?
- How Did US Equity Trading Go from Two Venues to Fifty?
- How Much of the Market Has Gone Dark?
- How Do You Measure Whether Fragmentation Helps or Hurts?
- Can You Simulate Whether a Dark Pool Improves Execution?
- How Should a Trader Choose Between Lit, Dark, and Periodic Auction?
- HFT \& The Speed Arms Race
- What Exactly Do High-Frequency Traders Do All Day?
- How Fast Is Fast in Today's Markets?
- How Much Is a Microsecond Worth in Dollar Terms?
- Could Batch Auctions Eliminate the Socially Wasteful Speed Race?
- Has HFT Made Markets Better or Worse for Everyone Else?
- References and Further Reading
(Introduction)Order Book ArchitectureSpread Decomposition \& Information ContentMarket Making \& Liquidity ProvisionDark Pools \& Venue FragmentationHFT \& The Speed Arms Race
MiniMicrostructure10 slides
- (Slides)
- Why Do Markets That Show Every Order Still Hide Half Their Trades?
- How Much of the Price You Paid Was the Cost of Someone Else Knowing Your Order?
- What Are the Building Blocks That Determine Every Price You See?
- Follow One Institutional Order Through the Order Book and Watch the Price Move
- How Do Dark Pools Hide Orders Without Hiding the Market?
- What Happens When Transparency Vanishes in a Crisis -- and Everyone Wants to Sell?
- How Wide Is the Spread -- and How Much Does It Change During a Crisis?
- Who Pays for Transparency -- and Who Profits from Opacity?
- Three Questions That Reveal Whether a Market Is Truly Fair
- Your Challenge: Design a Market Rule That Balances Transparency and Protection
(Slides)
ExtendedVolatility29 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- Stylized Facts of Financial Returns
- How Does One Equation Capture the Fact That Large Moves Predict Large Moves?
- Why Does the Normal Distribution Fail at the Tails of Financial Returns?
- How Do You Estimate GARCH Parameters from Return Data?
- Why Do Squared Returns Show Autocorrelation When Raw Returns Do Not?
- How Does EGARCH Capture the Asymmetry That Symmetric GARCH Misses?
- Which Stylized Facts Does Each Model Capture -- and Which Does It Miss?
- GARCH Family Models
- What Does the GARCH Variance Path Look Like Through Calm and Crisis?
- How Does the EWMA Estimator Trade Off Responsiveness Against Stability?
- How Does Maximum Likelihood Find the Best GARCH Parameters?
- Why Do Negative Returns Amplify Future Volatility More Than Positive Ones?
- Why Does Implied Volatility Almost Always Exceed Realized Volatility?
- When Should You Choose GARCH, EGARCH, or GJR-GARCH?
- Realized Volatility \& HF Estimation
- Why Does Realized Volatility Explode When You Sample Too Frequently?
- How Does Quadratic Variation Connect High-Frequency Returns to True Volatility?
- How Do You Compute Realized Volatility from Tick Data in Practice?
- What Does the Full Implied Volatility Surface Look Like?
- How Does the Volatility Smile Change Across Maturities?
- Implied Volatility \& Surface
- How Do You Extract the Market's Fear from a Single Option Price?
- What Does the VIX Futures Curve Tell You About the Market's Fear Timeline?
- How Do You Extract the Volatility Smile from Option Prices?
- How Much Does the Normal Distribution Underestimate Tail Risk?
- How Do You Parameterize the Volatility Surface for Pricing and Interpolation?
- What Does Each Region of the Volatility Surface Tell You About Market Fear?
- Volatility Trading \& Risk Management
- How Do You Price a Bet on Future Volatility Without a Volatility Model?
- How Do You Test Whether Returns Follow a Random Walk?
- At Which Horizons Do Returns Depart from the Random Walk?
- Where Does Volatility Cluster -- and What Triggers Regime Switches?
- How Do Institutions Trade Volatility as a Standalone Asset Class?
(Introduction)Stylized Facts of Financial ReturnsGARCH Family ModelsRealized Volatility \& HF EstimationImplied Volatility \& SurfaceVolatility Trading \& Risk Management
MiniVolatility10 slides
- (Slides)
- Why Do Markets Alternate Between Long Calms and Sudden Storms?
- What Does It Feel Like to Lose a Year of Gains in a Single Afternoon?
- What Is Volatility -- and Why Are There At Least Three Ways to Measure It?
- Follow the VIX Through One Market Crash -- and Watch Predicted vs Actual Diverge
- How Does a GARCH Model Capture the Fact That Volatility Breeds Volatility?
- What Happens When Everyone Uses the Same Volatility Model -- and the Model Is Wrong?
- Where Does Volatility Cluster -- and What Triggers Regime Switches?
- Who Benefits from Volatility -- Dealers, Quants, or Long-Term Investors?
- The Volatility Estimation Checklist: When Should You Trust the Model and When Should You Override It?
- Your Challenge: Estimate GARCH Parameters from Return Data and Forecast 5-Day Volatility
(Slides)
L07 Risk Management & Regulation10 lectures
MainRisk Management & Regulation25 slides
- Why Manage and Regulate Risk?
- What Is the Difference Between Risk and Uncertainty?
- Why Are Banks the Most Heavily Regulated Firms?
- How Do the Four Types of Financial Risk Interact?
- Learning Objectives
- Types of Financial Risk (Detail)
- How Do You Calculate Expected Loss on a Loan?
- Can a Bank Run Become a Self-Fulfilling Prophecy?
- Statistical Foundations for Risk Measurement
- Why Do Risk Managers Need Statistics?
- Why Do Risk Managers Care Most About the Tails?
- Risk Measurement
- How Bad Could a Normal Bad Day Get?
- Which VaR Method Should You Use -- and Why?
- If VaR Is the Cliff Edge, How Far Is the Fall?
- Stress Testing
- What Happens When Model Assumptions Break Down?
- How Do You Know If Your Risk Model Is Any Good?
- Basel Framework
- Why Does Every Basel Accord Follow a Crisis?
- How Do Three Pillars Work Together to Keep Banks Safe?
- How Much Capital Must a Bank Hold -- and Why?
- Can a Bank Survive 30 Days Without New Funding?
- European and Swiss Regulation
- How Does MiFID II Protect Investors Across Europe?
- What Changed When Research Was Unbundled from Trading?
- How Do Europe's Three Major Regulations Fit Together?
- Why Is a Messaging Standard Transforming Global Payments?
- What Makes Switzerland's Regulatory Approach Unique?
- Digital Risk Management
- How Is Technology Shifting Risk Management from Reactive to Real-Time?
- Why Is Cyber Risk the Fastest-Growing Threat to Banks?
- Summary
- Summary
Why Manage and Regulate Risk?Types of Financial Risk (Detail)Statistical Foundations for Risk MeasurementRisk MeasurementStress TestingBasel FrameworkEuropean and Swiss RegulationDigital Risk ManagementSummary
ExtendedCybersecurity29 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- The Financial Threat Landscape
- Who Is Actually Attacking Financial Institutions -- and What Do They Want?
- How Have the Primary Attack Vectors Evolved Over the Past Decade?
- Why Does a Data Breach Cost Financial Firms More Than Almost Any Other Industry?
- How Do You Classify Cyber Threats by Motive, Capability, and Persistence?
- Attack Vectors \& Incident Response
- How Long Does It Actually Take to Detect, Contain, and Recover From a Breach?
- Is Paying the Ransom a Rational Business Decision -- or a Systemic Mistake?
- Why Does Phishing Still Work After Two Decades of Security Awareness Training?
- What Does a Financial Institution's Incident Response Playbook Actually Contain?
- Can You Map Every Stage of a Financial Cyber Attack to a Defensive Control?
- Zero Trust \& Defence-in-Depth
- How Far Along Are Financial Institutions in Adopting Zero Trust Architecture?
- Where Are the Gaps in a Typical Financial Institution's Security Posture?
- What Are the Five Pillars of Zero Trust Architecture in Financial Services?
- What Does the Distribution of Vulnerabilities Tell Us About Where to Focus Patching?
- How Many Layers of Defence Must an Attacker Penetrate to Reach Core Banking Data?
- DORA \& Regulatory Frameworks
- What Are the Five Pillars of DORA and Why Does Each One Matter?
- How Wide Is the Gap Between Current Practice and DORA Requirements?
- How Does DORA Compare to Existing Cybersecurity Frameworks?
- What Does a Realistic DORA Implementation Timeline Look Like?
- Third-Party Risk \& Cyber Insurance
- Where Does Concentration Risk Hide in the Financial Vendor Ecosystem?
- How Do You Score and Prioritise Third-Party ICT Risk Under DORA?
- Is Cyber Insurance Becoming Unaffordable -- or Just Properly Priced?
- What Does a Financial Cyber Insurance Policy Actually Cover -- and What Does It Exclude?
- What Is the Difference Between a Vulnerability Scan and a Full Red Team Engagement?
- Should You Pay the Ransom -- and What Does Game Theory Say?
- How Do You Measure Whether Your Security Programme Is Improving Year Over Year?
- Can You Put a Dollar Value on Cyber Risk -- and Should You?
- Which Emerging Cyber Threats Will Reshape Financial Security in the Next Five Years?
- What Are the Five Key Takeaways From Financial Cybersecurity?
(Introduction)The Financial Threat LandscapeAttack Vectors \& Incident ResponseZero Trust \& Defence-in-DepthDORA \& Regulatory FrameworksThird-Party Risk \& Cyber Insurance
MiniCybersecurity10 slides
- (Slides)
- Why Does Making Banking More Convenient Also Make It More Dangerous?
- How Many of Your Financial Accounts Could Be Reached Through a Single Stolen Password?
- What Types of Cyber Threats Actually Hit Financial Institutions?
- Follow One Ransomware Attack from First Click to Last Recovery Step
- Should a Bank Defend at the Perimeter, Inside the Network, or Both?
- What Happens When Your Cloud Provider Goes Down and Takes Half the Banking System With It?
- How Does the Cost of a Single Cyber Incident Cascade Through a Financial Institution?
- Who Wins and Who Loses When a Major Financial Institution Is Breached?
- Four Questions That Reveal Any Financial Institution's True Cyber Resilience
- Your Challenge: Evaluate a Financial Institution's Cyber Resilience
(Slides)
LGRegulatory Frameworks10 slides
- (Slides)
- Why Is Every Major Financial Regulation Named After a Crisis It Failed to Prevent?
- How Many Regulatory Requirements Touched Your Bank Account This Morning?
- What Do PSD2, MiFID~II, and Basel Actually Regulate?
- How Would Basel~III Capital Requirements Have Prevented Lehman's Collapse?
- Who Makes the Rules, Who Enforces Them, and How Do Banks Comply?
- When Does Regulation Itself Become the Problem?
- How Long Does It Take for Financial Regulation to Go from Adoption to Enforcement?
- Who Wins and Who Loses When a New Regulation Takes Effect?
- Four Questions That Reveal Whether Any Financial Regulation Actually Works
- Your Challenge: Does the EU AI Act Adequately Address Algorithmic Trading Risks?
(Slides)
ExtendedOperational Resilience29 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- Operational Risk Taxonomy
- How Do You Model Operational Losses When Both Frequency and Severity Are Random?
- What Shape Does an Operational Loss Distribution Actually Take?
- Can You Simulate a Full Operational Loss Distribution in 18 Lines?
- Which Categories of Operational Loss Actually Cost the Most?
- Why Do Standard Distributions Fail in the Tail -- and What Replaces Them?
- How Do Basel's Seven Risk Categories Map to Modern Digital Threats?
- Scenario Design \& Reverse Stress Testing
- How Does Stress Re-Rank the Risks You Thought You Understood?
- Can You Generate Internally Consistent Stress Scenarios in 18 Lines?
- Why Does the Choice of Copula Determine Whether Your Stress Test Is Realistic?
- Which Scenarios Are Both Plausible and Catastrophic?
- How Wide Is the Uncertainty in Cumulative Operational Losses?
- What Is the Difference Between Asking ``How Bad?'' and ``What Kills Us?''
- Monte Carlo Simulation for Loss Estimation
- Where Are the Blind Spots in Your Stress Test Programme?
- How Do You Convolve Frequency and Severity Into a Single Capital Number?
- Can You Find the Scenario That Kills the Bank Using Binary Search?
- How Fast Must Each Business Process Recover -- and Which Ones Fail the Target?
- How Long Does It Actually Take to Detect, Contain, and Resolve a Cyber Incident?
- Automated Stress Test Infrastructure
- How Does Basel III Calculate Operational Risk Capital Without Internal Models?
- How Ready Is Each Institution Type for Operational Resilience Regulation?
- Can You Calculate Recovery Objectives from a Dependency Graph?
- Where Does Concentration Risk Hide in Your Vendor Network?
- How Do You Measure the Average Loss in the Worst Scenarios?
- What Does an End-to-End Automated Stress Test Architecture Look Like?
- Regulatory Frameworks \& DORA
- How Does a Single Vendor Failure Cascade Through the Financial Network?
- Can You Fit a GPD to Operational Loss Tails in 18 Lines?
- How Do Different Institution Types Compare on DORA Readiness?
- Where Does Operational Risk Capital Actually Go?
- What Does a DORA Compliance Roadmap Look Like for a Mid-Size Bank?
(Introduction)Operational Risk TaxonomyScenario Design \& Reverse Stress TestingMonte Carlo Simulation for Loss EstimationAutomated Stress Test InfrastructureRegulatory Frameworks \& DORA
MiniOperational Resilience10 slides
- (Slides)
- Why Did the 2023 Banking Crisis Hit Exactly the Risks That Stress Tests Ignored?
- What Happens to Your Savings When Your Bank's IT System Crashes for a Week?
- What Is the Difference Between Business Continuity, Disaster Recovery, and Operational Resilience?
- Follow One Bank Through a Coordinated Cyber-Attack -- Minute by Minute
- How Do You Automate Stress Testing When the Scenarios Are Infinite?
- What Happens When the Stress Test Itself Becomes a Source of Systemic Risk?
- Where Are the Gaps in Current Stress Test Coverage?
- Who Owns Operational Risk -- the CRO, the CIO, or the Board?
- The Resilience Assessment Framework: Beyond Check-the-Box Compliance
- Your Challenge: Design a Reverse Stress Test for a Digital Bank
(Slides)
ExtendedRisk Management28 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- Quantitative Risk Modeling
- How Do You Model the Full Distribution of Losses in a Credit Portfolio?
- What Shape Does the Loss Distribution Actually Take -- and Why Does It Matter?
- Can You Simulate 100,000 Credit Portfolios in 15 Lines of Python?
- Why Do Correlations Lie About Tail Dependence -- and What Replaces Them?
- How Does the Choice of Copula Change What You See in the Tails?
- Which Risk Factors Drive the Most Variation in Portfolio Loss?
- VaR \& ES Mathematical Framework
- How Do You Derive VaR from a Return Distribution -- and What Happens When It Is Not Normal?
- How Many VaR Breaches Are Too Many -- and What Happens When You Cross the Line?
- Can You Calculate VaR and ES Three Different Ways in Python?
- Why Is VaR Not a Coherent Risk Measure -- and Why Does That Matter?
- How Much More Does ES Reveal Than VaR -- and When Does the Gap Explode?
- When Do VaR Breaches Cluster -- and What Does Clustering Tell You?
- Stress Testing \& Model Validation
- What Scenario Would Actually Kill the Bank -- and How Do You Find It?
- How Do Different Stress Scenarios Compare in Severity and Plausibility?
- Can You Build a Multi-Factor Stress Test Engine in Python?
- How Do You Measure the Risk of the Risk Model Itself?
- How Much Do Different Risk Models Disagree -- and What Does the Disagreement Mean?
- Capital Adequacy \& FRTB
- How Do You Calculate Risk-Weighted Assets -- and Why Does the Method Matter?
- How Is a Typical Bank's Risk Capital Allocated Across Risk Types?
- Can You Build a Basel III Capital Adequacy Calculator in Python?
- How Much More Capital Will FRTB Require -- and Which Banks Are Hit Hardest?
- Digital Risk \& RegTech
- How Do You Prove That a Machine Learning Credit Model Is Better Than a Human?
- How Rapidly Is RegTech Replacing Manual Compliance -- and What Functions Lead?
- Can You Quantify Operational Risk Using the Loss Distribution Approach?
- What Have We Learned -- and What Remains Unsolved?
- Key Takeaways
- References and Further Reading
(Introduction)Quantitative Risk ModelingVaR \& ES Mathematical FrameworkStress Testing \& Model ValidationCapital Adequacy \& FRTBDigital Risk \& RegTech
MiniRisk Management10 slides
- (Slides)
- Why Do Risk Models Fail Precisely When We Need Them Most?
- What Did Lehman Brothers' Risk Dashboard Look Like the Morning Before It Collapsed?
- What Is the Difference Between Risk You Can Measure and Risk That Measures You?
- How Did a Fund Run by Nobel Laureates Lose \$4.6 Billion in Six Weeks?
- How Much Do VaR, Expected Shortfall, and Stress Tests Disagree When Markets Break?
- What Happens When Every Bank's Risk Model Tells It to Sell at the Same Moment?
- Where Is Risk Measurement Heading When AI and Climate Change Rewrite the Historical Record?
- What Changes When Every Systemically Important Bank Uses the Same Risk Model?
- Has Regulation Kept Pace With the Risks It Cannot Fully Measure?
- Your Challenge: Diagnose the Measurement Paradox in a Real Portfolio Decision
(Slides)
ExtendedVar Es29 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- Extreme Value Theory \& Tail Modeling
- Why Does Extreme Value Theory Let You Model Tails Without Knowing the Full Distribution?
- How Do You Extract More Information from Tail Observations Than Block Maxima Allow?
- How Stable Is the Tail Index Estimate -- and When Should You Stop Trusting It?
- Can You Build a Risk Model That Is Nonparametric in the Body but Parametric in the Tails?
- Can You Fit a Generalized Pareto Distribution to Tail Losses in 20 Lines?
- How Much Do EVT Estimates Diverge from Gaussian -- and Does It Matter at 99.9\%?
- Advanced Historical Simulation
- What If You Could Give Historical Returns a Volatility Adjustment for Today's Regime?
- How Quickly Did Filtered HS Detect the COVID Crash -- and How Badly Did Plain HS Lag?
- How Many Observations Do You Need Before Your VaR Estimate Becomes Trustworthy?
- Does the Square-Root-of-Time Rule Work -- or Does It Systematically Underestimate Multi-Day Risk?
- Can You Build a Volatility-Aware Historical Simulator in Python?
- Monte Carlo for Non-Linear Portfolios
- Why Does a Linear Approximation Fail for Options -- and What Replaces It?
- How Much Risk Does the Linear Approximation Miss in an Options Portfolio?
- Can Three Principal Components Capture 90\% of a Multi-Factor Portfolio's Risk?
- Can You Compute Delta-Gamma VaR for an Options Portfolio in Python?
- How Does Option VaR Change Across the Strike-Maturity Landscape?
- What Does the P\&L Distribution Look Like When Payoffs Are Non-Linear?
- VaR Decomposition \& Risk Attribution
- How Do You Decompose Portfolio VaR into Pieces That Add Up Exactly?
- Which Positions Contribute the Most Risk Per Dollar of Capital Invested?
- Can You Decompose Portfolio VaR into Position Contributions in Python?
- Why Do Two Different ``Position-Level VaR'' Measures Give Different Answers?
- Formal Backtesting \& Model Validation
- How Do You Statistically Test Whether a VaR Model Has the Right Number of Breaches?
- What If the Breaches Come at the Right Frequency but Cluster Together?
- Can You Build a Kupiec and Christoffersen Backtest in Python?
- How Do You Backtest Expected Shortfall When You Cannot Observe the Tail Mean Directly?
- What Have We Learned -- and What Remains Unsolved?
- Key Takeaways
- References and Further Reading
(Introduction)Extreme Value Theory \& Tail ModelingAdvanced Historical SimulationMonte Carlo for Non-Linear PortfoliosVaR Decomposition \& Risk AttributionFormal Backtesting \& Model Validation
MiniVar Es10 slides
- (Slides)
- Why Did Every Major Bank's Risk Model Fail on the Same Day?
- How Confident Are You in a Number That Has Been Wrong Every Time It Mattered?
- What Are the Three Approaches to Measuring VaR -- and Where Does Each Break?
- Follow One VaR Calculation from Raw Returns to Risk Number
- Why Is Expected Shortfall a Better Risk Measure Than VaR -- and What Did We Sacrifice?
- What Happens When Your Risk Model Assumes Normality but Reality Has Fat Tails?
- How Do VaR and ES Compare Across Different Market Regimes?
- Who Benefits and Who Suffers When Risk Models Underestimate Tail Risk?
- Three Questions That Reveal Whether a Risk Model Is Trustworthy
- Your Challenge: Diagnose a Risk Model and Recommend Improvements
(Slides)
L08 Emerging Topics in Digital Finance9 lectures
MainEmerging Topics in Digital Finance25 slides
- Foundations for Emerging Topics
- What Makes Something ``Money'' -- and Is Bitcoin Money?
- Is FinTech Creating Value or Just Redistributing It?
- Why Do Platform Markets Produce Winner-Take-Most Outcomes?
- Learning Objectives
- Decentralized Finance (DeFi)
- Can Smart Contracts Replace Banks Entirely?
- How Does DeFi Solve the Same Problems Differently?
- What Does a TVL Crash from \$180B to \$40B Reveal About Algorithmic Trust?
- What Happens When There's No Customer Support?
- Central Bank Digital Currencies
- If Cash Went Digital, What Would Change?
- Why Is There No Single Optimal CBDC Design?
- Why Did Small Countries Launch CBDCs First?
- Why Is Switzerland Leading Wholesale CBDC Innovation?
- AI in Financial Services
- Is AI One Thing in Finance -- or Many?
- Can Machines Find Signal in Financial Noise?
- What Happens When an Algorithm Denies Your Loan?
- How Is Generative AI Different from Traditional ML in Finance?
- Sustainable Finance and ESG
- Why Do Different Raters Give the Same Company Different ESG Scores?
- Is Climate Change the Ultimate Unpriced Externality?
- Embedded Finance and Platform Models
- What Happens When Financial Services Become Invisible?
- Will Tech Platforms Dominate Finance -- or Will Banks Build Super-Apps?
- Why Is Insurance Especially Ripe for Disruption?
- How Did the Minimum Investment Fall from \$100,000 to \$1?
- Frontier Technologies
- When Will Quantum Computers Break Financial Encryption?
- Can You Verify Your Identity Once and Use It Everywhere?
- Summary and Course Wrap-Up
- Course Summary: Digital Finance in Perspective
Foundations for Emerging TopicsDecentralized Finance (DeFi)Central Bank Digital CurrenciesAI in Financial ServicesSustainable Finance and ESGEmbedded Finance and Platform ModelsFrontier TechnologiesSummary and Course Wrap-Up
ExtendedCbdc29 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- Monetary Policy Transmission \& Seigniorage
- How Does a CBDC Destroy the Most Profitable Product in Central Banking?
- How Sensitive Is Seigniorage to CBDC Remuneration and Substitution?
- How Much Will Depositors Flee Banks for CBDC Safety?
- At What CBDC Rate Do Bank Deposits Collapse?
- Can You Find the CBDC Rate That Maximizes Welfare Without Killing Banks?
- Where Is the Sweet Spot Between Inclusion and Stability?
- Privacy Engineering \& Cryptographic Design
- How Can You Prove a Transaction Is Valid Without Revealing Its Details?
- What Is the Computational Price of Privacy in CBDC Transactions?
- Can You Measure How Much Privacy Leaks from Aggregate CBDC Statistics?
- How Do Anonymity Vouchers Create Cash-Like Privacy with Digital Audit Trails?
- How Do Different Voucher Designs Distribute Privacy Across the Population?
- Cross-Border mCBDC \& Currency Substitution
- How Does Atomic PvP Settlement Eliminate Herstatt Risk in mCBDC?
- How Much Does Each Extra Intermediary Cost in Cross-Border Payments?
- Can You Simulate a Multi-Currency Atomic Swap on mBridge?
- When Does a Foreign CBDC Replace Your Domestic Currency?
- Which Countries Face the Highest Risk of Digital Dollarization?
- How Fast Is mBridge Compared to SWIFT and Correspondent Banking?
- Technology Architecture \& Offline Payments
- Why Can't a Blockchain Process Visa-Level Transaction Volume?
- How Do Real CBDC Platforms Compare on Throughput, Latency, and Finality?
- How Do Hardware Wallets Prevent Double-Spending Without Connectivity?
- How Long Can a Wallet Stay Offline Before Double-Spend Risk Becomes Unacceptable?
- What Can -- and Should -- Programmable CBDC Money Actually Do?
- Bank Disintermediation \& Financial Stability
- How Fast Can a Digital Bank Run Drain the Banking System?
- How Does a CBDC Bank Run Compare to SVB, Northern Rock, and Classical Panics?
- Can You Model How Tiered Rates Discourage Excessive CBDC Holdings?
- What Holding Limit Maximizes Inclusion While Containing Systemic Risk?
- What Happens to the Central Bank Balance Sheet When Everyone Holds CBDC?
- Can You Stress-Test a Bank's Balance Sheet Under CBDC Deposit Migration?
(Introduction)Monetary Policy Transmission \& SeignioragePrivacy Engineering \& Cryptographic DesignCross-Border mCBDC \& Currency SubstitutionTechnology Architecture \& Offline PaymentsBank Disintermediation \& Financial Stability
MiniCbdc10 slides
- (Slides)
- What If the Government Could See Every Coffee You Buy?
- How Would You Feel If Your Money Had an Expiration Date?
- What Makes a CBDC Different from Everything Else?
- How Does a Digital Euro Transaction Actually Work?
- Why Does Every CBDC Design Sacrifice Something?
- What Goes Wrong When Central Banks Become Retail Bankers?
- Which Countries Are Closest to a Digital Currency -- and Why?
- Who Gains Power and Who Loses It in a CBDC World?
- The Privacy-Control Spectrum -- Where Should Your Country Land?
- Your Challenge -- Design a CBDC for Switzerland
(Slides)
ExtendedClimate Risk29 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- Climate Risk Taxonomy
- How Do You Compute the Carbon Value-at-Risk of a Portfolio?
- What Does the Carbon Price Look Like Under NGFS Scenarios?
- Can You Compute the Carbon VaR of a Four-Asset Portfolio?
- Which Sectors Face the Largest Stranded Asset Write-Downs?
- How Do You Value an Asset When Its Cash Flows Depend on Carbon Policy?
- How Do Physical, Transition, and Liability Risk Interact in a Climate Stress Test?
- Carbon Pricing \& Stranded Assets
- Where Is the Gap Between What Markets See and What Climate Delivers?
- Can You Compute When a Fossil Asset Becomes Stranded?
- How Sensitive Is Each Asset to the Climate Factor?
- Which Assumptions Drive the Largest Swings in Transition Risk Estimates?
- What Does the Climate Loss Distribution Look Like Under Each Scenario?
- How Do Different Carbon Pricing Mechanisms Create Different Stranding Patterns?
- Green Bond Verification \& Greenwashing
- How Has the Green Bond Market Grown -- and Where Is the Money Going?
- Do Green Bonds Really Trade at a Premium -- and Can You Measure It?
- Can You Build an Automated Green Bond Verification Score?
- How Wide Is the Greenium -- and Does It Vary by Sector and Rating?
- Can You Teach a Machine to Detect Greenwashing?
- Climate Stress Testing
- How Do You Combine Six Disagreeing ESG Ratings into One Usable Score?
- How Do ESG Raters Disagree Across Environmental, Social, and Governance Pillars?
- Can You Build a Bayesian ESG Aggregator That Flags High-Divergence Companies?
- How Does Physical Climate Risk Vary Across Asset Classes and Regions?
- Why Are Compound Climate Events More Likely Than Models Predict?
- Which NGFS Scenario Should You Use -- and Why Does It Matter?
- ESG Integration \& Portfolio Construction
- What Does It Cost to Decarbonize a Portfolio -- Exactly?
- Can You Interpolate Between NGFS Scenarios for Custom Stress Tests?
- Where Do Scope 1, 2, and 3 Emissions Hide in a Diversified Portfolio?
- What Does a Credible Portfolio Decarbonization Glide Path Look Like?
- Which ESG Integration Approach Actually Reduces Climate Risk?
(Introduction)Climate Risk TaxonomyCarbon Pricing \& Stranded AssetsGreen Bond Verification \& GreenwashingClimate Stress TestingESG Integration \& Portfolio Construction
MiniClimate Risk10 slides
- (Slides)
- Why Are Banks Still Financing Coal Plants That Will Be Worthless in 15 Years?
- What If Your Pension Fund Held Assets That Climate Change Will Make Uninsurable?
- What Is the Difference Between Physical Risk, Transition Risk, and Liability Risk?
- Follow One Green Bond from Issuance to Impact Report -- and Spot the Greenwashing
- How Do You Put a Price on a Risk That Materializes After the CEO Retires?
- What Happens When Stranded Assets Hit Bank Balance Sheets All at Once?
- Where Does the Horizon Gap Between Financial Planning and Climate Risk Hit Hardest?
- Who Bears the Cost of the Climate Transition -- Investors, Consumers, or Governments?
- The Climate Risk Assessment Checklist: Physical, Transition, and Liability
- Your Challenge: Compute the Carbon VaR of a Hypothetical Portfolio
(Slides)
ExtendedDefi29 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- AMM Mathematics \& Market Microstructure
- How Does a Constant Product Market Maker Set Prices Without an Order Book?
- How Does Price Impact Scale with Trade Size and Pool Depth?
- How Does Concentrated Liquidity Multiply Capital Efficiency by 10x -- or 4000x?
- Can You Simulate an AMM Swap and Measure the Slippage?
- How Does Concentrated Liquidity Reshape the Capital Efficiency Frontier?
- What Makes StableSwap Different from Constant Product -- and When Does Each Break?
- Lending Protocol Mechanics \& Interest Rate Models
- How Do Lending Protocols Set Interest Rates Without a Committee?
- What Does the Interest Rate Kink Look Like -- and Why Does It Exist?
- Can You Model a Liquidation Cascade in Five Lines of Logic?
- How Do Liquidation Cascades Amplify a 10\% Price Drop into a 40\% Loss?
- How Does the Health Factor Determine Whether You Get Liquidated?
- How Does Flash Loan Volume Reveal the Hidden Economy of Atomic Arbitrage?
- Yield Farming \& Tokenomics
- Where Does DeFi Yield Actually Come From -- and When Is It Real?
- How Do Token Emission Schedules Predict the Yield Collapse?
- Can You Detect a Ponzi-like Protocol from Its On-Chain Cash Flows?
- How Does Recursive Leverage Amplify Yield -- and Risk -- Simultaneously?
- Which Yield Sources Survived the 2022 Crash -- and Which Evaporated?
- Risk Quantification \& Smart Contract Security
- Why Does Impermanent Loss Follow a Square Root Law?
- How Does Impermanent Loss Compare to Fee Income Across Price Scenarios?
- Can You Build a Monte Carlo Simulator for LP Profitability?
- How Much Value Have Smart Contract Exploits Destroyed -- and What Are the Patterns?
- How Do You Model Smart Contract Risk as a Jump Process?
- How Does Protocol Composability Create Hidden Contagion Pathways?
- Governance \& Regulatory Frameworks
- How Concentrated Is Voting Power in Decentralized Governance?
- How Does Voting Power Distribution Compare Across Major DAOs?
- Can You Compute the Cost of a Flash Loan Governance Attack?
- What Does MiCA Actually Regulate -- and What Escapes Through the Cracks?
- Can You Score How Decentralized a Protocol Actually Is?
(Introduction)AMM Mathematics \& Market MicrostructureLending Protocol Mechanics \& Interest Rate ModelsYield Farming \& TokenomicsRisk Quantification \& Smart Contract SecurityGovernance \& Regulatory Frameworks
MiniDefi10 slides
- (Slides)
- What If You Could Be Your Own Bank -- but Nobody Would Help If You Got Robbed?
- How Many Safety Nets Did You Use Today Without Knowing It?
- What Does DeFi Replace -- and What Does It Remove?
- How Does a DeFi Loan Work When There Is No Loan Officer?
- How Do Three DeFi Primitives Solve the Same Problems Differently?
- What Happens When Your Stable Coin Is Not Stable?
- Where Did All the Money Go -- and Where Is It Coming Back?
- Who Benefits and Who Bears the Risk in a World Without Banks?
- The Freedom-Safety Balance: Three Questions Before You Deposit
- Your Challenge: Evaluate a DeFi Protocol
(Slides)
ExtendedEmerging Topics30 slides
- (Introduction)
- What Will You Be Able to Do After This Lecture?
- DeFi Mechanisms \& Economics
- Why Does $x \times y = k$ Make Automated Market Making Possible?
- Can You Simulate an AMM Pool and Watch Slippage in Action?
- How Does Pool Depth Protect You from Slippage?
- How Much Do Liquidity Providers Actually Lose to Impermanent Loss?
- Where Does DeFi Yield Actually Come From -- and How Much Is Real?
- When Does Yield Farming Beat Simply Holding?
- CBDC Architecture \& Monetary Policy
- How Does a CBDC Change the Way Monetary Policy Reaches You?
- Can You Simulate Bank Disintermediation from a CBDC Launch?
- Where Does Money Flow in a Two-Tier CBDC System?
- How Private Is Your CBDC -- and How Private Should It Be?
- Can CBDCs Replace SWIFT -- and What Would That Mean for Dollar Hegemony?
- AI/ML in Financial Services
- How Do You Turn Text into a Trading Signal?
- Can You Build a Financial Sentiment Classifier in 20 Lines?
- How Confident Should You Be in an AI Credit Score?
- Does Market Sentiment Actually Predict Returns?
- Why Do the Most Accurate Models Resist Explanation?
- Sustainable Finance Quantification
- Why Do Six Raters Give the Same Company Six Different ESG Scores?
- Can You Build an ESG-Constrained Portfolio Optimizer?
- How Much Do ESG Raters Disagree -- Company by Company?
- What Does Climate Risk Look Like in a Portfolio's Loss Distribution?
- Do Green Bonds Really Cost Less to Issue -- and Can You Prove It?
- Platform Economics \& Frontier Tech
- Why Does a Platform with 10x Users Have 100x Value?
- Can You Predict When a FinTech Platform Reaches Critical Mass?
- How Do FinTech Platform Ecosystems Overlap?
- When Exactly Will Quantum Computers Break Financial Encryption?
- What Is the Quantum Migration Roadmap for Financial Institutions?
- Can You Demonstrate Why Lattice-Based Cryptography Resists Quantum Attack?
- What Have We Learned -- and What Remains Unsolved?
- Key Takeaways
(Introduction)DeFi Mechanisms \& EconomicsCBDC Architecture \& Monetary PolicyAI/ML in Financial ServicesSustainable Finance QuantificationPlatform Economics \& Frontier Tech
MiniEmerging Topics10 slides
- (Slides)
- Why Would a Bank Trust a Machine That Makes Things Up?
- Have You Already Used AI for a Financial Decision Without Realizing It?
- What Can Generative AI Actually Do in Finance?
- Follow a Prompt from Input to Investment Recommendation
- Human-in-the-Loop or Human-out-of-the-Loop -- Who Decides?
- What Happens When AI Hallucinates a Financial Fact?
- How Fast Is the Financial Industry Adopting Generative AI?
- Who Wins and Who Loses When AI Writes the Analyst Report?
- The Trust Spectrum: When Should You Rely on AI-Generated Financial Advice?
- Your Challenge: Evaluate an AI-Generated Financial Analysis
(Slides)