AMATH 546/ECON 589:  Financial Econometrics and Quantitative Risk Management

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Syllabus

Spring 2013

Last updated: June 5, 2013

Note: "QRM" denotes Quantitative Risk Management "FRF denotes Financial Risk Forecasting; "FMUND" denotes Financial Modeling Under Non-Gaussian Distributions; "SDAFE" denotes Statistics and Data Analysis for Financial Engineering.

Week 1:  4/1 and 4/3

Course Introduction, Properties of asset returns and Risk Measures

Textbook Readings

Lecture Notes and Additional Readings

  • Class slides for overview of quantitative risk management (updated April 1, 2013).
  • Class slides for return definitions and properties of returns (updated April 1, 2013).
  • Class slides for risk measures (updated April 5, 2012).
  • Powerpoint slides for distribution properties of returns (updated April 3, 2013).
  • R code used in powerpoint examples (updated April 3, 2013).
Week 2:  4/8 and 4/10 Asset and Portfolio Risk Measures: Properties, Computation and Estimation

Textbook Readings

Lecture Notes, Additional Readings and Paper Discussions
Week 3:  4/15 and 4/17

 Volatility Modeling

Textbook Readings

Lecture Notes, Additional Readings and Paper Discussions
  • FRF chapter 2; chapter 5, sections 5-6.
  • QRM chapter 2, section 3; chapter 4, sections 1-4.
  • FMUND chapter 4, sections 1-6.
  • SDAFE chapter 18

PhD Section Presentation Papers:

  • Goldberg, L, Hayes, M.Y., Menchero, J. and Mitra, I. (2009).  "Extreme Risk Management", SSRN Working Paper No. 1341363.
  • Goldberg, L, Hayes, M.Y., Menchero, J. and Mitra, I. (2009).  "Extreme Risk Analysis", MSCI Barra Research Insights, SSRN Working Paper No. 1404820.
Week 4: 4/22 and 4/24 Advanced Volatility Modeling and Backtesting Risk Models
Textbook Readings Lecture Notes and Additional Readings
  • FRF chapter 8
  • QRM chapter 2, section 3.5; chapter 4, section 4.3.
  • FMUND chapter 8, section 6
  • SDAFE chapter 19

PhD Section Presentation Papers:

Weeks 5, 6 and 7:  5/6, 5/8, 5/13 and 5/15 Liquidity Risk, Multivariate Models: Dynamic Covariance and Correlation Modeling

Textbook Readings

Lecture Notes and Additional Readings

  • FRF chapter 3.
  • QRM chapter 3, sections 1-3; chapter 4, sections 5 and 6
  • FMUND chapter 6.
  • SDAFE chapter 7

PhD Section Presentation Papers:

 

Week 8:  5/20 and 5/22

 
Textbook Readings Lecture Notes and Additional Readings
  • FRF chapter 1, section 8
  • QRM chapter 5
  • FMUND chapter 6.
  • SDAFE chapter 8.

 

Weeks  9 and 10:  5/29, 6/3 and 6/5 Factor Models and Factor Models Risk Decompositions
Textbook Readings Lecture Notes and Additional Readings
  • QRM chapter 3, section 4.
  • SDAFE chapter 17