29 April 2020
Multivariate Garch (Volatility) Models for Risk Management
The objective of our Multivariate Garch Models for Risk Management 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.
The course is of particular interest to: i) Master and Ph.D. Students and researchers in public and private research centres, and ii) professionals employed in risk management in the following sectors: asset management, exchange rate and market risk analysis, front office and research in investment banking and insurance, needing to acquire the necessary econometric/statistical toolset to independently conduct an empirical analysis of financial risk.
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 Multivariate Garch Models for Risk Management 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 of financial time series and in particular modelling returns and volatility in asset returns; the modelling of cross market correlations, volatility spillovers 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 three days, a number of alternative GARCH models, models of conditional correlations, and value-atrisk models will be reviewed.
EUR 735: Students*: € 735.00
University: € 1225.00
Non-Profi t/Public Research Centres: € 1510.00
Commercial: € 1800.00
*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.