OUR ACADEMIC DEPARTEMENTS |
Lesson details
 | ECONOMETRICS FOR ASSET & RISK MANAGERS | ||
2018-2019 | EnIESEG School of Management
(
IÉSEG
)
| ||
Class code : | 1819-IÉSEG-M1S2-FIN-MA-FE77UE | FINANCE | |
| Level | Year | Period | Language of instruction |
|---|---|---|---|
| Master | 1 | S2 | EnEnglish |
- This class exists in these courses :
- IÉSEG > IESEG Degree - Programme Grande École > Semester 2 > 2,00 ECTS
Prerequisites
- Specificity and functioning of the various financial markets
- Basics of pricing securities, especially stocks and bonds
- Intermediate level in econometrics (multiple regression with the method of Ordinary Least Squares; OLS assumptions - homoskedasticity, multicollinearity, autocorrelation of error terms; inference and hypothesis testing)
- Some knowledge of Econometrics software is encouraged (example: EViews, R, Matlab)
Learning outcomes
- Program specific Objectives: Be competent in the field of finance, rigorous and committed to quality (Master the appropriate techniques and display expertise in the field)
- Understand and interpret the main characteristics of financial time series and data
- Analyze in depth the movements of asset price dynamics, returns and volatility
- Compare and contrast the performance of different econometric techniques to model financial data
- Learn practical tools and econometric software to apply theory into practice
- Designing risk assessment frameworks to apply for potential managerial solutions
Course description
- Session 1: Introductory Background and Fundamentals Concepts
- Session 2: Market Efficiency
- Session 3: ARMA Models
- Session 4: Divident-Price Cointegration and Empirical Tests
- Session 5: Volatility Models
- Session 6: Econometric Tools for Risk management and Measurement
Class type
Class structure
| Type of course | Numbers of hours | Comments | |
|---|---|---|---|
| Independent work | |||
| Reference manual 's readings | 7,00 | ||
| Research | 7,00 | ||
| Face to face | |||
| Interactive class | 16,00 | ||
| Independent study | |||
| Group Project | 20,00 | ||
| Total student workload | 50,00 | ||
Teaching methods
- Interactive class
- Project work
- Research
Assessment
Short written exam + final project
| Type of control | Duration | Number | Percentage break-down |
|---|---|---|---|
| Others | |||
| Group Project | 0,00 | 1 | 60,00 |
| Continuous assessment | |||
| Mid-term exam | 1,50 | 2 | 40,00 |
| TOTAL | 100,00 | ||
Recommended reading
- Brooks, C. (2014). Introductory Econometrics for Finance, 3rd Edition, Cambridge University Press. -
- Wooldridge, J. (2012). Introductory Econometrics : A Modern Approach, 5th Edition, South-Western. -
- Greene, W.H. (2011). Econometric Analysis : International Edition, Pearson Education. -
- Cryer, J.D., and Kung-Sik, C. (2008). Time Series Analysis With Applications in R, 2nd Edition, Springer Texts in Statistics, Springer. -
* This information is non-binding and can be subject to change
