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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

 

Literature:

H. Akaike (1974) A New Look at the Statistical Model Identification. IEEE Transactions on Automatic Control 19(6): 716-723

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

T.E. Copeland, K. Shastri and J.F. Weston (2005) Financial Theory and Corporate Policy. Pearson

J. Durbin and G.S. Watson (1950) Testing for Serial Correlation in Least Squares Regression, I. Biometrika 37(3-4): 409-428

J. Durbin and G.S. Watson (1951) Testing for Serial Correlation in Least Squares Regression, II. Biometrika 38(1-2): 159-179

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

W.H. Greene (2008) Econometric Analysis. Pearson

J. Hamilton (1994) Time Series Analysis. Princeton University Press

E.J. Hannan and B.J. Quinn (1979) The Determination of the Order of an Autoregression. Journal of the Royal Statistical Society Series B 41: 190-195

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

G. Holton (2003) Value-at-Risk. Academic Press

G.M. Ljung and G.E.P. Box (1978) On a Measure of a Lack of Fit in Time Series Models. Biometrika 5(2): 297-303

D. Ruppert (2004) Statistics and Finance. Springer

G. Schwarz (1978) Estimating the Dimension of a Model. Annals of Statistics 6(2): 461-464

S.S. Shapiro and M.B. Wilk (1965) An Analysis of Variance Test for Normality (for Complete Samples). Biometrika 52: 591-611

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