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FIN 657 Financial Econometrics for Risk Modeling

Course Description: This course teaches estimation and forecasting of time series models in finance. Students will learn how to measure and forecast financial volatility and correlations and become proficient with GARCH type models and historical volatilities. These methods will be used to measure risk and analyze alternative approaches to calculating Value at Risk, dynamic portfolio selection and risk control. The course also examines implied volatilities from options, variance swaps, credit risk models, market (in) efficiency, dynamic relationships between global financial markets and high frequency volatility. The course teaches estimation, Monte Carlo simulations and programming methods. Course Rotation: Fall and Summer

Credits

3 credits

Prerequisite

MBA 646 Minimum Grade of B