Germany, Frankfurt

Financial Risk Management

when 2 December 2019 - 4 December 2019
language English
duration 1 week

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 fi nancial 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 two days, a number of alternative GARCH models, models of conditional correlations, and value-atrisk 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 specifi c technique is of the utmost importance. In this manner, course leaders are able to bridge the “often diffi cult” 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.

Target group

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 offi ce and research in investment banking and insurance, needing to acquire the necessary econometric/statistical toolset to independently conduct an empirical analysis of financial risk.

Course aim

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.

Fee info

EUR 0: Students*: € 735.00
University: € 1225.00
Non-Profi t/Public Research Centres: € 1513.00
Commercial: € 1800.00

*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, fi rst 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.