Fordham University            The Jesuit University of New York
 


Financial Econometrics for Risk Management

Financial Econometrics for Risk Management


This course reviews the essential econometric techniques used in risk management. An introduction to multivariate statistics will be presented with emphasis in copula theory. Single- and multi-variable regression will be covered along with methods for identifying and handling the common problems that arise in their use, such as auto-correlation and heteroscedasticity. Useful applications of regression analysis in the context of risk management will be introduced including Logit and Probit models used in default estimation as well as principal components analysis. The analysis of time series and its use in risk management will be explored with particular attention to ARCH (auto-regressive conditional heteroscedasticity) and GARCH (generalized auto-regressive conditional heteroscedasticity) models and their use in the modeling and forecasting of volatility.

Professors: Rengifo, Karnik 
Syllabus

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