RISK MEASUREMENT

Academic year
2023/2024 Syllabus of previous years
Official course title
RISK MEASUREMENT
Course code
EM5027 (AF:449601 AR:256269)
Modality
On campus classes
ECTS credits
6
Degree level
Master's Degree Programme (DM270)
Educational sector code
SECS-P/05
Period
4th Term
Course year
1
Where
VENEZIA
Moodle
Go to Moodle page
This is a course in financial econometrics with an emphasis on the concepts, techniques and tools required for quantitative risk management. The focus will be on the statistical modeling of financial time series (asset prices and returns) with an emphasis on univariate e multivariate models for conditional herteroskedasticity for quantitative risk management (GARCH), and the analysis of extreme values.
The learning goals/objectives of the course are: (1) survey the relevant theoretical and practical techniques for risk measurement; (2) introduce state-of-the-art techniques for modeling financial time series and managing financial risk with particular emphasis on GARCH models for conditional heteroskedasticity; (3) use of statistical/econometrics software to get hands-on experience with real world data.
Econometrics
Statistics (hypothesis testing)
Probability
Topics to be covered include:

- Risks in finance
- Empirical properties and stylized facts of asset returns
- Probability distributions and statistical models for asset returns
- Volatility and correlation modeling (GARCH models)
- Extreme Value Theory: block maxima and peaks-over-the-threshold
- Risk measures: definitions and estimates
- Backtesting
- Applications through RStudio

- Danielsson, J. (2011). Financial Risk Forecasting. Wiley Finance.
- Further material shared by the instructor (moodle)

Further readings:
- Tsay, R. (2010). Analysis of Financial Time Series, Third Edition. Wiley.
The exam will be written with theoretical questions and/or exercises
Lectures and practice sessions through RStudio.
English
written
Definitive programme.
Last update of the programme: 10/06/2023