- 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)
-
from Nov 07, 2024 to Dec 09, 2024
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.
Teaching methods
Theoretical lectures and practice sessions using Matlab
Assessment methods
The exam will be an homework.
Links to further information
https://sites.google.com/view/giovanni-angelini/
Office hours
See the website of Giovanni Angelini