Regulatory framework, Risk measurement, Standard methods for market risks, Multivariate Models, Copulas and Dependence, Extreme Value
Theory, Volatility Models and Risk Estimation, Realized Volatility
Introduction to MATLAB
Quantitative Risk Management, Concept, techniques and tools, McNeil, A., Frey, R. and Embrechts, P., Princeton Series in Finance
Obiettivi Formativi
The student will be able to apply quantitative tools to measure risk in a multivariate setting, with a particular focus on market risk and volatility
Prerequisiti
Calculus and Integration
Metodi Didattici
Classes and exercises, Seminars
Modalità di verifica apprendimento
written
Programma del corso
Regulatory framework, Risk measurement, Standard methods for market risks, Multivariate Models, Copulas and Dependence, Extreme Value Theory, Volatility Models and Risk Estimation, Realized Volatility
Introduction to MTALAB