Models for risk and forecasting - V. Candila


  • Stylized facts of daily returns. 
  • Modelling and forecasting (one-step and multi-step ahead) conditional variance of returns: GARCH models and their variants. Volatility decomposition (GARCH-MIDAS, DAGM, DAGM-X models).
  • Estimation and evaluation of GARCH and GARCH variants. 
  • Risk measures: definitions, coherent properties, and elicitability.
  • Parametric, semi-parametric, and non-parametric approaches to Value-at-risk (VaR) measures. 
  • Measuring beyond the quantile: the Expected Shortfall (ES).
  • Testing risk measures in financial applications: the violation-based tests for backtesting VaR and ES.
  • Risk Management process: mapping risks, valuation methods, loss distributions, and scenario analysis;
  • Risk aggregation: introduction to copulas and depending risks for portfolio measurement and capital allocation purposes.

Exam days (2021)

9 June, 7 July, 8 September.



Materiale didattico: 

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