Seminar Quantitative Risk Management
Seminar "Quantitative Risk Management" (Prüfungsnummer 6401)
Veranstaltung für den Master (T Modul + R Modul)
Vorlesung | Beginn 14.04.2020 | |||
Montag | 11 - 13 Uhr | HG 217 | Dmytro Ivasiuk | |
Dienstag | 11 - 13 Uhr | HG 217 | Dmytro Ivasiuk | |
Übung | Beginn 16.04.2020 | |||
Donnerstag | 09 - 13 Uhr | HG 217 | 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
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
J. Durbin and G.S. Watson (1951) Testing for Serial Correlation
J. Durbin and G.S. Watson (1971) Testing for Serial Correlation
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
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