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.