Facultades y centros
Otros centros
Servicios administrativos
Servicios generales
Código:
41243
Profesor/a responsable:
LEON VALLE, ANGEL MANUEL
Crdts. ECTS:
5,00
Créditos teóricos:
1,20
Créditos prácticos:
0,40
Carga no presencial:
3,40
Esta asignatura se imparte en inglés.
Es un curso opcional de Econometría Financiera en el segundo año del Máster de Economía Cuantitativa.
Competencias Generales del Título (CG)
Competencias específicas (CE)
Sin datos
Este curso se imparte en inglés.
This course mainly focus on market risk models, that is, volatility and correlation forecast models, their implementation and evaluation. We employ the two principal mathematical programming languages, R and Matlab.
Este curso se imparte en inglés.
Chapter 1: Stylized facts of asset returns
1. Introduction.
2. Volatility clusters.
3. Non-normality and fat tails.
4. Statistical tests for fat tails.
5. Modeling Non-normality by using alternative densities.
6. Nonlinear dependence. Long run correlations.
7. Non-elliptical world. Introduction to copulas.
Chapter 2: Risk measures
1. Introduction.
2. Volatility.
3. Value-at-Risk (VaR)
4. Expected Shortfall. (ES)
5. Expected Shortfall and Quantile regression.
Chapter 3: Univariate Volatility modeling
1. Introduction.
2. Simple volatility models. Moving average models and EWMA.
3. GARCH and conditional volatility.
4. Maximum likelihood estimation of volatility models.
5. LR tests, Goodness-of-fit measures, graphical analysis, etc.
6. Other GARCH-type models. Leverage effects and asymmetry.
Chapter 4: Multivariate volatility models
1. Introduction.
2. Multivariate EWMA.
3. Constant conditional correlations (CCC).
4. Dynamic conditional correlations (DCC).
5. Maximum likelihood estimation.
Chapter 5: Implementing risk forecasts
1. Introduction.
2. Historical simulation.
3. Risk measures and parametric methods.
4. VaR with time-dependent volatility.
Chapter 6: Backtesting and stress testing
1. Introduction.
2. Backtesting.
3. Significance of backtests. Bernoulli coverage test, testing independence of violations, etc.
4. Expected shortfall backtesting.
5. Stress testing. Scenario analysis, etc.
Chapter 7: Extreme value theory (EVT)
1. Introduction.
2. Asset returns and fat tails.
3. Applying EVT. Generalized Pareto distribution, Hill method, etc.
Sin datos
Elements of financial risk management | |
Autor(es): | Christoffersen, Peter |
Edición: | Waltham : Academic Press, 2012; |
ISBN: | 978-0-12-374448-7 |
Categoría: | Básico |
Financial risk forecasting : the theory and practice of forecasting market risk, with implementation in R and Matlab | |
Autor(es): | Daníelsson, Jón. |
Edición: | Chichester : Wiley , 2011; |
ISBN: | 978-0-470-66943-3 |
Categoría: | Básico |
Anticipating correlations : a new paradigm for risk management | |
Autor(es): | Engle, Robert F. |
Edición: | Princeton : Princeton University Press, 2009; |
ISBN: | 978-0-691-11641-9 |
Categoría: | Básico |
Analysis of financial time series : financial econometrics | |
Autor(es): | Tsay, Ruey S. |
Edición: | New York : John Wiley & Sons, 2010; |
ISBN: | 978-0-470-41435-4 |
Categoría: | Básico |
Time Series Analysis | |
Autor(es): | Hamilton, James D. |
Edición: | Princeton : Princeton University Press, 1994; |
ISBN: | 0-691-04289-6 |
Categoría: | Complementario |
Asset price dynamics, volatility, and prediction | |
Autor(es): | TAYLOR, Stephen J. |
Edición: | Princeton : Princeton University Press, 2007; |
ISBN: | 9780691134796 |
Categoría: | Básico |
Portfolio construction and risk budgeting | |
Autor(es): | Scherer, Bernd Michael |
Edición: | London : Risk Books, 2007; |
ISBN: | 978-1-904339-69-4 |
Categoría: | Complementario |
Este curso se imparte en inglés.
Students will receive several homeworks and they have to hand them in when specified. The homeworks are graded, and the students will have to discuss their solutions in class. These homeworks will count for 50% of the grade. The other 50% will be a final exam. The final exam can be retaken in July.
Descripción | Criterio | Tipo | Ponderación |
There will be problem sets. Cooperation in the assignments is encouraged, but they should be written up individually | Problem sets and presentations |
ACTIVIDADES DE EVALUACIÓN DURANTE EL SEMESTRE | 50 |
There will be a final exam during the exam period | Final exam |
EXAMEN FINAL | 50 |
Sin datos
Grupo | Semestre | Turno | Idioma | Matriculados |
---|---|---|---|---|
Gr. 1 (CLASE TEÓRICA) : 1 | AN | Todo el día | ANG | 10 |
Grupo | Semestre | Turno | Idioma | Matriculados |
---|---|---|---|---|
Gr. 1 (SEMINARIO / TEÓRICO-PRÁCTICO / TALLER) : 1 | AN | Todo el día | ANG | 10 |