COURSE ID: D-EF33 LANGUAGE:

FINANCIAL RISK MANAGEMENT

The growth in financial instruments during the last decade has resulted in a significant development of econometric methods (financial econometrics) applied to financial data. The objective of our Management of Financial Risk course is to provide participants with a comprehensive overview of the principal methodologies, both theoretical and applied, adopted for the analysis of risk in financial markets. To this end, the course focuses on the modelling and forecasting financial time series and in particular, in modelling volatility in asset returns; the modelling of cross market correlations, volatility spill-overs and contagion in financial asset markets; and the implementation of both Factor Models and Principal Components Analysis for the identification of specific asset, country and global factors. The course concludes with an analysis of the available risk management tools/measures widely adopted in academia and the financial. During the course of the two days, a number of alternative GARCH models, models of conditional correlations, and value-at-risk models will be reviewed.

 

In common with TStat’s training philosophy, throughout the course the theoretical sessions are reinforced by case study examples, in which the course tutor discusses current research issues, highlighting potential pitfalls and the advantages of individual techniques. The intuition behind the choice and implementation of a specific technique is of the utmost importance. In this manner, course leaders are able to bridge the “often difficult” gap between abstract theoretical methodologies, and the practical issues one encounters when dealing with real data. At the end of the course, participants are expected to be able to autonomously implement the theories and methodologies discussed in the course.

The course is particularly useful to both researchers and professionals working in economics, finance or the insurance sector needing to acquire the necessary statistical/econometrical toolset to independently conduct empirical analysis of financial risk.

Participants are required to have a basic knowledge of either econometrics or statistics. Previous experience with statistical software will facilitate the practical sessions.

SESSION I: VOLATILITY MODELS: GARCH

Analysis of financial time series features: stationarity, autocorrelation, conditional heteroscedasticity, fat tails
Modelling and forecasting asset returns volatility with univariate ARCH and GARCH models:

ARCH, GARCH, GARCH-in-mean
Integrated GARCH
RiskMetrics
Modelling asymmetric shock impacts on volatility with asymmetric GARCH models:

SAARCH
EGARCH
GJR
TGARCH
APARCH
News Impact Curve

 

SESSION II: CORRELATION MODELS AND CONTAGION: MGARCH

Modelling cross-markets correlations and testing for volatility spillovers with:

Diagonal VECH (DVECH)
Constant Conditional Correlation (CCC)
Dynamic Conditional Correlation (DCC) models

Assessing contagion in financial markets. Testing for high moments contagion

SESSION III: FACTOR MODELS

Identifying global, asset related and country specific factors in data with a large number of assets with principal component analysis and static and dynamic factor models

 

SESSION IV: RISK MANAGEMENT TOOLS

Porfolio Value-at-Risk (VaR)
Parametric VaR
Historical simulation VaR
Monte Carlo VaR
Expected Shortfall (ES) and Tail Risk (TR)
Backtesting procedures
Unconditional coverage
Independence
Conditional coverage
Duration based tests of independence

 

 

USEFUL TEXTS: 

S. Boffelli and G. Urga (2016), Financial Econometrics Using Stata. Stata Press Publication

The course will be held in Frankfurt am Main, on the 13th and 14th of June 2018.

 

Students*: € 540.00
University: € 900.00
Non-Profit/Public Research Centres: € 1050.00
Commercial: € 1200.00

**To be eligible for student prices, participants must provide proof of their full-time student status for the current academic year.

Fees are subject to VAT (applied at the current Italian rate of 22%). Under current EU fiscal regulations, VAT will not however applied to companies, Institutions or Universities providing a valid tax registration number.

Course fees cover: course materials (handouts, Stata do files and datasets to used during the course), a temporary licence of Stata valid for 30 days from the beginning of the course, light lunch and coffee breaks.

The number of participants is limited to 8. Places, will be allocated on a first come, first serve basis. The course will be officially confirmed, when at least 5 individuals are enrolled.

To maximize the usefulness of this course, we strongly recommend that participants bring their own laptops with them, to enable them to actively participate in the empirical sessions.

 

REGISTRATION DEADLINE

Individuals interested in attending the training course, must return their completed registration forms to TStat by the 24th of May 2018.


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The objective of our Management of Financial Risk course is to provide participants with a comprehensive overview of the principal methodologies, both theoretical and applied, adopted for the analysis risk in financial markets.