You are here:

69841 - Risk Econometrics

Academic Year 2022/2023

                
                        Docente:
                        Giovanni Angelini
                    
                        Credits:
                        6
                    
                        SSD:
                        SECS-P/05
                    
                        Language:
                        Italian
                    
                        Teaching Mode:
                        Traditional lectures
                        
                            Campus:
                            Rimini
                        
                            Corso:
                            Second cycle degree programme (LM) in
                            Statistical, Financial and Actuarial Sciences (cod. 8877)

                                    Course Timetable
                                
from Nov 08, 2022 to Dec 15, 2022

Learning outcomes

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).

Course 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
- Credit risk

Readings/Bibliography

- Danielsson, J. (2011). Financial Risk Forecasting. Wiley Finance.
- Tsay, R. (2010). Analysis of Financial Time Series, Third Edition. Wiley.
- Articoli aggiuntivi

Teaching methods

Theoretical lectures and practice sessions using Matlab

Assessment methods

The exam will be an homework

Office hours

See the website of Giovanni Angelini