Factor Models and Risk Management Tools (ONLINE)

Factor Models and Risk Management Tools (ONLINE)

Posted on

Start Date

End Date

Application Deadline

Type

Professional training

Reference Number

D-EF40-OL

Certifications & Titles

Certificate of participation

Study Options

Part Time

Fees

Regular fees: 355 - 675 EUR

Comment:

Please note:

  • To be eligible for student prices, participants must provide proof of their full-time student status for the current academic year. Our standard policy is to provide all full-time students, be they Undergraduates or Masters , access to student participation rates. Part-time master and doctoral students who are also currently employed will however, be allocated academic status. 
  • Fees are subject to VAT (applied at the current Italian rate of 22%). Under current EU fiscal regulations, VAT will not however applied to companies, Institutions or Universities providing a valid tax registration number.
  • The number of participants is limited to 8. Places, will be allocated on a first come, first serve basis. The course will be officially confirmed, when at least 5 individuals are enrolled. Course fees cover: course materials (handouts, Stata do files and datasets to be used during the course), a temporary licence of Stata valid for 30 days from the beginning of the course.

 

Funding Options

Students have access to discounted courses fees

The growth in financial instruments during the last decade has resulted in a significant development of econometric methods (financial econometrics) applied to financial data. The objective of our Factor Models & Risk Management Tools course is to provide participants with a comprehensive overview of the principal methodologies, both theoretical and applied, adopted for risk analysis and risk management. To this end, the course focuses on the implementation of both factor models and principal components analysis for the identification of specific asset, country and global risk factors and on risk management tools/measures.

PROGRAM:

Session I: Factor Models

  • Static and dynamic factors, factor estimation, determining the number of factors, nonstationary factor models;
  • Identifying global, asset related and country specific factors in data with a large number of assets with principal component analysis and static and dynamic factor models;
  • Applications of factor analysis to (bond and asset) portfolio management, stock liquidity and its determinants.

Session II: Risk Management Tools

  • Porfolio Value-at-Risk (VaR):
  • definitions
  • Approaches for estimating VaR:
  • Parametric VaR, Historical simulation VaR
  • Monte Carlo VaR
  • Expected Shortfall (ES) and Tail Risk (TR)
  • Backtesting procedures:
  • Unconditional coverage
  • Independence
  • Conditional coverage
  • Duration based tests of independence

Prerequisites:

Participants should have a knowledge of the inferential statistics and introductory econometric methods illustrated in Brooks (2019).

Target Audience:

The course is of particular interest to: i) Master and Ph.D. Students and researchers in public and private research centres, and ii) professionals employed in risk management in the following sectors: asset management, exchange rate and market risk analysis, front office and research in investment banking and insurance, needing to acquire the necessary econometric/statistical toolset to independently conduct an empirical analysis of financial risk.

Course Leaders:

  • Dr. Elisabetta Pellini - The Business School (formerly Cass), City, University of London.
  • Prof. Giovanni Urga -  The Business School (formerly Cass), City, University of London.

Course Duration:

Due to the current Public Health situation, the 2021 edition of this training course will be offered ONLINE on a part-time basis in two three hour sessions on the 14th-15th June 2021 at the following times:

         Time Zone (1) from 9.30 am to 13.00 am CEST
         Time Zone (2) from 3.00 pm to 6.30 pm CEST

in order to facilitate participation for our clients based in both Europe/Middle East and North and South America.

Course Objectives:

In common with TStat’s training philosophy, throughout the course the theoretical sessions are reinforced by case study examples, in which the course tutor discusses current research issues, highlighting potential pitfalls and the advantages of individual techniques. The intuition behind the choice and implementation of a specific technique is of the utmost importance. In this manner, course leaders are able to bridge the “often difficult” gap between abstract theoretical methodologies, and the practical issues one encounters when dealing with real data. At the end of the course, participants are expected to be able to autonomously implement (by applying the Stata routines developed specifically for the course) the theories and methodologies discussed during the two sessions.

More Information

Application Information

Full Name

Cover Letter

Password

Your Account Password


Attendance

Online

Posted on

Start Date

End Date

Application Deadline

Type

Professional training

Reference Number

D-EF40-OL

Certifications & Titles

Certificate of participation

Study Options

Part Time

Fees

Regular fees: 355 - 675 EUR

Comment:

Please note:

  • To be eligible for student prices, participants must provide proof of their full-time student status for the current academic year. Our standard policy is to provide all full-time students, be they Undergraduates or Masters , access to student participation rates. Part-time master and doctoral students who are also currently employed will however, be allocated academic status. 
  • Fees are subject to VAT (applied at the current Italian rate of 22%). Under current EU fiscal regulations, VAT will not however applied to companies, Institutions or Universities providing a valid tax registration number.
  • The number of participants is limited to 8. Places, will be allocated on a first come, first serve basis. The course will be officially confirmed, when at least 5 individuals are enrolled. Course fees cover: course materials (handouts, Stata do files and datasets to be used during the course), a temporary licence of Stata valid for 30 days from the beginning of the course.

 

Funding Options

Students have access to discounted courses fees