Dear all,
Professor Kim Christensen, from Aarhus University, will hold 3 lectures on the topic “Financial Risk Management ”,
for master and PhD students, only IN PRESENCE.
The activity is part of the PhD program at the Department of Economics, University of Verona,
track Data Analysis and Finance
Registration is required, deadline: Tuesday 28 November 2023, 24.00 hrs
Here is the timetable
05.12.2023 14.00 – 16.30
Historical simulation, Expected shortfall,
room Lab SMS8 (Santa Marta)
06.12.2023 10.00 – 12.30
Probability theory, Time series analysis,
room SMT04 (Santa Marta)
06.12.2023 14.00 – 16.30
Volatility modeling,
room SMT04 (Santa Marta)
Department of Economics (Santa Marta), via Cantarane 24, Verona
All interested people are invited to attend
In case introductory and summary material on basic concepts and on Value-at-Risk is needed,
we can indicate some preliminary references
Description: Every day, companies around the world are exposed to various sources of financial risk. Risk management is the process by which such risk exposures are identified, measured and controlled. This course intends to introduce students to basic elements of financial risk management, including how to define risk, how we can measure risk from historical returns data, and how we can exploit stylized features of empirical risk measures to construct time series forecasts of the risk we expect to face in the future.
Topics covered: - Coherent risk measures - Expected Shortfall - Historical simulation - Basic time series analysis - Time-varying volatility - Volatility modeling and forecasting - RiskMetrics - The GARCH(1,1) model
Prerequisites
- introduction to financial risk management,
- sources of financial risk
- Value-at-risk
Reference text: Christofferson, P. F. (2012): Elements of Financial Risk Management. Elsevier Academic Press.
Best regards,
Cecilia Mancini