RISK MEASUREMENT

Academic year 2020/2021 Syllabus of previous years
Official course title RISK MEASUREMENT
Course code EM5027 (AF:331211 AR:179931)
Modality For teaching methods (in presence/online) please check the timetable
ECTS credits 6
Degree level Master's Degree Programme (DM270)
Educational sector code SECS-P/05
Period 4th Term
Course year 1
Where VENEZIA
Moodle Go to Moodle page
Contribution of the course to the overall degree programme goals
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).
Expected learning outcomes
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.
Pre-requirements
Econometrics
Statistics
Probability
Contents
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
Referral texts
- Danielsson, J. (2011). Financial Risk Forecasting. Wiley Finance.
- Tsay, R. (2010). Analysis of Financial Time Series, Third Edition. Wiley.
- Supplemental readings
Assessment methods
The exam will be written with theoretical questions and/or exercises
Teaching methods
Lectures and practice sessions.
Teaching language
English
Type of exam
written and oral
Definitive programme.
Last update of the programme
21/04/2020