Elements of Financial Risk Management (2 ECTS)

Relatore
Kim Christensen - Aarhus University, DK

Data
20-nov-2018 - Ora: 14:30

Elements of Financial Risk Management

The module is coordinated with the course of Risk Management (2nd year CdLM Economics)

Professor Kim Christensen
Aarhus University, DK

Topics covered:
- Introduction to Financial Risk Management
- Sources of financial risk
- Value-at-Risk
- Coherent risk measures
- Expected Shortfall
- Historical simulation
- Basic time series analysis
- Time-varying volatility
- Volatility modeling and forecasting
- RiskMetrics
- The GARCH(1,1) model


Lectures Timetable:

- Tuesday 20 November 2018 14.30-17.50 (4hrs) Room SMT04
- Wednesday 21 November 2018 11.00-13.30 (3hrs) Lab SMS 01
- Wednesday 21 November 2018 14.30-17.00 (3hrs) Lab SMS 01
- Thursday 22 November 2018 16.30-18.10 (2hrs) Lab SMS 01


Reference text:
Christofferson, P. F. (2012): Elements of Financial Risk Management. Elsevier Academic Press.


Registration deadline: Friday 16 November, 12.00
Maximum number of participants (30 students) with priority for students of CdLM Economics

please find below the link to register for the module of  Elements of Financial Risk Management (2credits)

deadline Friday Nov 16th at 12.00
 

See: https://goo.gl/forms/3yb7FCayjOHXJX8I3 for registration



Attendance to the module lecture is compulsory for registered students, as well as a positive evaluation of the course assignments, in order to obtain the credits recognition.

Final Assignment: The module evaluation is comprised of handing in two written group assignments based on solving selected exercises the course book: P. Christoffersen “Elements of Financial Risk Management”. Academic Press, 2nd edition. Each student will receive an overall grade for the assignments from 0 to 3 [0: failed, 1 – 3: passed]. 2 credit type F is allocated to students with passed assignments. Also, an attendance rate of 75% of the classes (i.e., 3 out of 4 lectures) is required.

please find below the link to register for the module of  Elements of Financial Risk Management (2credits)

deadline Friday Nov 16th at 12.00


Contact persons
Claudio Zoli: claudio.zoli@univr.it 
Roberto Renò: roberto.reno@univr.it

 

Data pubblicazione
14-nov-2018

Referente
Luca Di Persio
Dipartimento
Informatica