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Seminar: Financial Risk Management

Veranstaltung für den Master (5 oder 7 Credit Points)

Details

28th June 2010 ---> oral examination

 

Contents:

The Concise Oxford English Dictionary defines risk as 'hazard, a chance of bad consequences, loss or exposure to mischance'. Mostly only the downside of a risk is mentioned, rarely a possible upside, i.e. the potential for a gain. In recent decades the field of financial risk management has undergone explosive developments. This seminar is devoted specifically to quantitative modelling issues arising in this field.

It is possible to write your seminar paper in English or in German. Moreover, all participants have to present their seminar paper in English. The presentations should take about 25 minutes. In this case you receive 5 ECTS. Additionally, you have to pass an oral examination in order to receive 7 ECTS. Relevant topics will be announced later. The seminar paper should consist of at least 15 pages without cover sheet and appendix.

Each student has to apply theoretical aspects to financial data, i.e the participants must use statistical software packages. We offer tutorials helping you to work with R, SAS, and SCILAB. Further software is not available at our chair and consequently not allowed.

 

  • 5 ECTS -----> seminar paper and presentation

  • 7 ECTS -----> seminar paper, presentation, and oral examination

 

8th April 2010 first meeting
15th April 2010 binding registration (garthoff@euv-frankfurt-o.de)
25th May 2010 deadline for the first version of seminar papers and presentations
15th July 2010 presentations in HG 162
28th June 2010 oral examination in HG 231b

 

 

Topics

 

  1. Different Approaches to Measuring Value at Risk

  2. Concepts of Risk Management

  3. The Capital Asset Pricing Model

  4. Arbitrage Pricing Theory

  5. Credit Risk Modeling

  6. The Binomial Options Pricing Model

  7. The Black-Scholes Model

  8. ARMA Models and Their Application to Financial Data

  9. GARCH Models and Their Application to Financial Data

  10. Analysis of High Frequency Financial Data

  11. Multivariate ARMA Models

  12. Multivariate GARCH Models: Direct Generalizations of Univariate GARCH Models

  13. Multivariate GARCH Models: Linear Combinations of Univariate GARCH Models

  14. Multivariate GARCH Models: Nonlinear Combinations of Univariate GARCH Models

  15. Theory of Copulas and Application in Finance

 

References

 

  1. L. Bauwens, S. Laurent, J. V. K. Rombouts (2006). Multivariate GARCH models: a survey. Journal of Applied Econometrics 21}: 79-109.
    ---> 12, 13, 14

  2. F. Black, M. Scholes (1973). The pricing of options and corporate liabilities. Journal of Political Economy 81: 637-654.
    ---> 7

  3. T. Bollerslev (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31(3): 307-327.
    ---> 9

  4. T. Bollerslev (1990). Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model. Review of Economics and Statistics 72(3): 498-505.
    ---> 14

  5. P. J. Brockwell, R. A. Davis (1991). Time series: theory and methods, 2nd ed. - New York: Springer.
    ---> 8, 9, 10, 11

  6. P. J. Brockwell, R. A. Davis (1996). Introduction to time series and forecasting, 2nd ed. - New York: Springer.
    ---> 8, 9, 10, 11

  7. T. E. Copeland, K. Shastri, J. F. Weston (2005). Financial Theory and Corporate Policy, 4th ed. - Pearson Addison-Wesley.

  8. ---> 3, 4, 6, 7

  9. P. Embrechts, R. Frey, A. J. McNeil (2005). Quantitative Risk Management - Princeton: Princeton University Press.
    ---> 1, 2, 15

  10. R. F. Engle (2002). Dynamic conditional correlation - a simple class of multivariate GARCH models. Journal of Business and Economic Statistics 20(3): 339-350.
    ---> 14

  11. R. F. Engle, K. F. Kroner (1995). Multivariate simultaneous generalized ARCH. Econometric Theory 11: 122-150.
    ---> 12

  12. R. F. Engle, K. Sheppard (2001). Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. Unpublished paper: UCSD.
    ---> 14

  13. J. D. Hamilton (1994). Time series analysis - Princeton: Princeton University Press.
    ---> 8, 9, 10, 11

  14. G. A. Holton (2003). Value-at-Risk - Amsterdam: Academic Press.
    ---> 1

  15. P. Jorion (2007). Value at Risk, 3rd ed. - New York: McGraw-Hill.
    ---> 5, 8, 9, 10, 11

  16. W.-L. Lin (1992). Alternative estimators for factor GARCH models - a monte carlo comparison. Journal of Applied Econometrics 7(3): 259-279.
    ---> 13

  17. H. Lütkepohl (1993). Introduction to multiple time series analysis, 2nd ed. - Berlin, Heidelberg, New York, Tokio: Springer.
    ---> 8, 9, 10, 11

  18. G. C. Reinsel (1997). Elements of multivariate time series analysis,  2nd ed. - Berlin, Heidelberg, New York: Springer.
    ---> 11

  19. R. S. Tsay (2002). Analysis of financial time series - New York: Wiley.
    ---> 8, 9, 10, 11

  20. R. Van der Weide (2002). GO-GARCH: a multivariate generalized orthogonal GARCH model. Journal of Applied Econometrics 17: 549-564.
    ---> 13