Time Series Methods for Risk Analysis, Feb 27- Mar 10

Time Series Methods for Risk Analysis, Feb 27- Mar 10

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Start Date

End Date

Application Deadline

Type

Professional training, online courses

Certifications & Titles

Certificate of Attendance

Fees

Regular fees: 750 - 1250 EUR

10% early-bird discount applies to confirmation payments made on or before January 27, 2022.

Reduced Fee applies for Ph.D. or Master's students, Alumni of BSE Master's programs, and participants who are unemployed.

Groups and other discounts are available, contact a BSE Admissions Counselor to request your personalized quotation.

Identifying, quantifying, and predicting macroeconomic and financial risk is key for the decision-making process and the design of sound economic policies.

This course presents an in-depth overview of the state-of-art techniques for risk in macroeconomics and finance. After this course, which include both theory sessions and hands-on exercises in practical sessions, you will be able to apply these methods to your own research.

Learn risk modeling methodologies to get key insights on the evolution of macroeconomic and financial risk through practical hands-on experience

The first part of the course introduces univariate time series models used for the analysis of time-varying volatility (GARCH models); multivariate time series models for the analysis of time-varying correlations (DCC models) and the quantile regression model for the analysis of downside risk. The second part of the course presents empirical applications. In the first application, GARCH-DCC models are used to construct a number of systemic risk measures recently proposed in the literature (CoVaR, SRISK). In the second application GARCH models and the quantile regression model are used for Growth-at-Risk forecasting.

The course consists of theory sessions (10 hours) and practical sessions (10 hours). During the practice sessions, we will use MATLAB to replicate the methodology as well as the empirical findings documented in the lectures.

 

Find the full course outline and more details on the course page

 

This course is specifically aimed at:

 

  • Researchers who want to use the latest advances in macroeconometrics

  • Masters and PhD students who want to extend their knowledge in the area of systemic risk in economics and finance  

  • Senior central bankers, specially those who work in the area of financial stability

  • Practitioners at private and public institutions who wish to update their knowledge and acquire the most recent techniques, tools, and methodologies

 

More Information

Attendance

Online

Posted on

Start Date

End Date

Application Deadline

Type

Professional Training, Online Courses

Certifications & Titles

Certificate of Attendance

Fees

Regular fees: 750 - 1250 EUR

10% early-bird discount applies to confirmation payments made on or before January 27, 2022.

Reduced Fee applies for Ph.D. or Master's students, Alumni of BSE Master's programs, and participants who are unemployed.

Groups and other discounts are available, contact a BSE Admissions Counselor to request your personalized quotation.

Ramon%20Trias%20Fargas%2025-27%2C%20Barcelona%2C%20Spain

Ramon Trias Fargas 25-27

08005 Barcelona , Spain