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Seminar Quantitative Risk Management


Seminar "Quantitative Risk Management" (Prüfungsnummer 6401)

Veranstaltung für den Master (T Modul + R Modul)

Vorlesung Beginn 08.04.2019
Montag 14 - 16 Uhr HG 162 Dmytro Ivasiuk
Dienstag 14 - 16 Uhr HG 217 Dmytro Ivasiuk
Übung Beginn 11.04.2019      
Donnerstag 09 - 13 Uhr GD 309 Dmytro Ivasiuk

6 ECTS ---> exam (T-Modul)
6 ECTS ---> seminar paper and presentation (R-Modul)


Deadline for the seminar paper ---> end of June (to be announced)

Presentation ---> end of June (to be announced)


List of topics:

1. Basics of Statistics, Revision

2. Risk Management

3. Regression Analysis

4.Time Series Analysis (ARMA and GARCH processes)

5. RiskMetrics

6. CreditMetrics



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M. Bhatia, C. Finger and G. Gupton (1997) CreditMetrics. Technical Document. J.P. Morgan / Reuters

T. Bollerslev (1986) Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics 31:  07-327

G.E.P. Box and D.A. Pierce (1970) Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models. Journal of the American Statistical Association 65: 1509-1526

T.S. Breusch and A.R. Pagan (1979) A Simple Test for Heteroskedasticity and Random Coefficient Variation. Econometrica 47(5): 1287-1294

P. Brockwell and R.A. Davis (1991) Time Series: Theory and Methods. Springer

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J. Durbin and G.S. Watson (1971) Testing for Serial Correlation in Least Squares Regression, III. Biometrika 58(1): 1-19

P. Embrechts, R. Frey and A.J. McNeil (2005) Quantitative Risk Management. Princeton University Press

R.F. Engle (1982) Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica 50(4): 986-1007

C. Finger, S. Howard, J. Longerstæy and P. Zangari (1996) RiskMetrics. Technical Document. J.P. Morgan / Reuters

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C. Heuman, M.S. Shalabh (2017) Introduction to Statistics and Data Analysis: With Exercisis, Solutions and Applications in R. Springer

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R. Tsay (2005) Analysis of Financial Time Series. Wiley

H. White (1980) A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica 48(4): 817-838

J.M. Wooldridge (2013) Introductory Econometrics. South-Western