Risk Management and Empirical Finance

Professional content

The course consists of complementary parts of financial econometrics and risk management. The course deals with empirical analysis of financial and commodity markets (equities, currency, bonds, energy, metal, and agriculture).

• Descriptive Analysis
• Return of Returns
• Regression Analysis / Factor Models for Stocks
• Finance Optimization and Portfolio Selection
• Principles for Optimization of Portfolios of Bonds and Shares
• Index Funds
• Dynamic Portfolio Strategies
• Risk Management
• Value at Risk
• Parametric, historical and simulation-specific estimation of Value at Risk
• Assessment of model risk and stress testing
• Principal component analysis for modeling of forward curves
• Modeling of volatility and correlation in different markets
• Trading strategies with univariate and multivariate time series models
• Co-integration analysis
• Use of copula and quantum regression
• Extreme Value Models
• Panel data methods
• Empirical corporate finance,
• Empirical analysis of capital structure and dividend decisions
• Mergers and acquisitions, and securities issues
• Bankruptcy Risk
• Evaluation of models
• Hedge fund analysis and alternative Investments

Knowledge

• The theoretical basis for analysis of financial data
• Methods for analysis and optimization of portfolios of financial and related assets
• Risk measurement methods and risk management
• Methods for analysis of company financing

Skills

• Provide training in thinking about portfolio selection as a result of balance between risk and return,
• Provide the ability to formulate and solve portfolio management issues in static and dynamic circumstances,
• Provide knowledge in methods of statistical processing of financial data using econometric models for assessment of financial decisions, price development and other risk factors.

General Competence

• Provide training in financial analysis in spreadsheets and use of financial databases.
• Provide training in the implementation of financial econometric methods by writing an independent semester assignment.

Lectures, assignment and submissions