Seminar Quantitative Risk Management

Seminar "Quantitative Risk Management" (Prüfungsnummer 6401)

Veranstaltung für den Master (T Modul)

Alte SPO:

5 ECTS ---> seminar paper and presentation (G-Modul)

7 ECTS ---> seminar paper, presentation and oral exam (T-Modul)

Neue FSO:

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

Registration will be announced in the lecture on 10/06/15.

Oral examination ---> to be announced

Deadline for the seminar paper ---> to be announced

Presentation ---> to be announced

List of topics:

1. Different Approaches to Risk Measurement
     - Loss Distributions

     - Value at Risk

     - Expected Shortfall

2. Regression Analysis

3. Autoregressive Moving-Average Models

4. Generalized Autoregressive Conditional Heteroscedasticity

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

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