Finanzstatistik / Financial Statisics

Submitted by ruckdeschel on Tue, 07/13/2021 - 18:19
Person(s) in Charge
Prof. Dr. Peter Ruckdeschel
Topic
Einführung in die Statistik der Finanzmärkte / Introduction to Statistics for Financial Markets
Type
lecture (3) & exercise course (1)
KP
6KP
Workload
180h
Hours/Week
4.00h
Exam Type
oral exam (online or onsite upon student's choice)
Access Limits
None
Prerequisites
Introduction to Statistics (Statistics I)
Location
Tu, 12-14, Th, 14-16, online / BBB; recorded sessions will be available for asynchronous attendance; respecting the infectual state of affairs, possibly, on short notice (parts of) the exercise sessions will be on-site
Description

Contents:

– Exploratory Data Analysis for Time Series
– Models in Discrete Time: CAPM; Random Walk;
– Basic Time Series Models: ARMA und GARCH; Parameter Estimation and Model Selection; Tests for Stationarity
– Computation of VaR: historic simulation; square root t rule; Delta method and VaR for options with smooth payoff
– Measuring Volatility; Volatility Risk;
– Models for Credit Risk and Rating

References:

– Franke, J., Härdle, W., Hafner, C.M. Einführung in die Statistik der Finanzmärkte. Springer.
– Alexander, C. Market models: a guide to financial data analysis. Wiley.
– Albrecht, P, and Raimond M. Investment- und Risikomanagement. Schäffer Poeschel.
– Hull. Risk Management and Financial Institutions. Wiley.
– Ruppert, D. Statistics and finance: An introduction. Springer.
– Ruppert, D. Statistics and data analysis for financial engineering. Springer.
– Tukey, J.W. Exploratory data analysis. Addison Wesley

course language: English or German upon request (slides in German)

Semester