RISK MEASUREMENT

Academic year
2018/2019 Syllabus of previous years
Official course title
RISK MEASUREMENT
Course code
EM5027 (AF:278915 AR:159948)
Modality
On campus classes
ECTS credits
6
Degree level
Master's Degree Programme (DM270)
Educational sector code
SECS-P/05
Period
4th Term
Course year
1
Where
VENEZIA
This is a course in financial econometrics with an emphasis on the concepts, techniques and tools required for quantitative risk management. The focus will be on the statistical modeling of financial time series (asset prices and returns) with an emphasis on univariate e multivariate models for conditional herteroskedasticity for quantitative risk management (GARCH).
The learning goals/objectives of the course are: (1) survey the relevant theoretical and practical techniques for risk measurement; (2) introduce state-of-the-art techniques for modeling financial time series and managing financial risk with particular emphasis on GARCH models for conditional heteroskedasticity; (3) use of statistical/econometrics software to get hands-on experience with real world data.
Econometrics
Statistics
Probability
Topics to be covered include:
- Overview of Risk measures
- Empirical properties and stylized facts of asset returns
- Probability distributions and statistical models for asset returns
- Volatility and correlation modeling (GARCH models)
- Estimation of risk measures
- Factor risk models for asset returns
- Systemic risk
- Danielsson, J. (2011). Financial Risk Forecasting. Wiley Finance.
- Taylor, S.J. (2005), Asset Price Dynamics, Volatility and Prediction. Princeton University Press.
- Tsay, R. (2010). Analysis of Financial Time Series, Third Edition. Wiley.
- Supplemental reading from journal articles.
The exam will be written with theoretical questions and/or exercises
Lectures and practice sessions.
English
written
Definitive programme.
Last update of the programme: 25/09/2018