69841 - Risk Econometrics

Academic Year 2017/2018

  • Teaching Mode: Traditional lectures
  • Campus: Rimini
  • Corso: Second cycle degree programme (LM) in Statistical, Financial and Actuarial Sciences (cod. 8877)

Learning outcomes

At the end of the course students should be familiar with the mainstream econometric models of returns volatility, univariate and multivariate, and should be able to employ them for the quantification of risk. Students should have skills to evaluate the specification and the forecast performance of such models, and to choose among competing models.

Course contents

1. Univariate volatility models. Value at Risk and expected shortfall. Definition, forecasting and evaluation of the forecasting performance.

2. Multivariate GARCH models: constant conditional correlations, BEKK. Vector autoregressions with GARCH residuals: forecast variance.

Readings/Bibliography

Tsay R. (2002). Analysis of Financial Time Series. Cambridge

Christoffersen P. et al. (1999). Testing, Comparing and Combining Value at Risk Measures (scaricabile)

Helmut Lütkepohl (2005). New Introduction to Multiple Time Series Analysis. Springer. Capitolo 16.

Teaching methods

Theory classes and empirical exercises at the computer lab

Assessment methods

A written exam (open-book, with all supporting materials exclusively in paper form).

Teaching tools

Econometric software: JMulti (downloadable).

Links to further information

https://elearning-cds.unibo.it/course/view.php?id=13325

Office hours

See the website of Iliyan Georgiev