Module Handbook

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Course MAT-62-13-K-7

Financial Statistics (2V, 4.5 LP)

Course Type

SWS Type Course Form CP (Effort) Presence-Time / Self-Study
2 V Lecture 4.5 CP 28 h 107 h
(2V) 4.5 CP 28 h 107 h

Basedata

SWS 2V
CP, Effort 4.5 CP = 135 h
Position of the semester 1 Sem. irreg.
Level [7] Master (Advanced)
Language [EN] English
Lecturers
+ further Lecturers of the department Mathematics
Area of study [MAT-STO] Stochastics/Statistics/Financial Mathematics
Additional informations
Livecycle-State [NORM] Active

Contents

Statistics of Financial Markets:
  • Schemes and estimation procedures for financial time series (ARCH, GARCH and generalisations), Value-at-Risk,
  • Copulas and its application for risk management based on multivariate data.

Extreme Value Theory:

  • Statistical methods to estimate the probability ofextreme events or extreme quantiles.

Literature

  • J. Franke, W.K. Härdle, C.M. Hafner: Statistics of Financial Markets: An Introduction,
  • P. Embrechts, C. Klüppelberg, T. Mikosch: Modelling Extremal Events for Insurance and Finance.

Materials

Further literature will be announced in the lecture.

References to Course [MAT-62-13-K-7]

Module Name Context
[MAT-62-13-M-7] Financial Statistics P: Obligatory 2V, 4.5 LP
Course-Pool Name
[MAT-50-2V-KPOOL-4] Elective Courses Optimisation and Stochastics (2V, B.Sc.)