Module Handbook

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Module MAT-62-13-M-7

Financial Statistics (M, 4.5 LP)

Module Identification

Module Number Module Name CP (Effort)
MAT-62-13-M-7 Financial Statistics 4.5 CP (135 h)

Basedata

CP, Effort 4.5 CP = 135 h
Position of the semester 1 Sem. irreg.
Level [7] Master (Advanced)
Language [EN] English
Module Manager
Lecturers
Lecturers of the department Mathematics
Area of study [MAT-STO] Stochastics/Statistics/Financial Mathematics
Reference course of study [MAT-88.B84-SG] M.Sc. Actuarial and Financial Mathematics
Livecycle-State [NORM] Active

Courses

Type/SWS Course Number Title Choice in
Module-Part
Presence-Time /
Self-Study
SL SL is
required for exa.
PL CP Sem.
2V MAT-62-13-K-7
Financial Statistics
P 28 h 107 h - - PL1 4.5 irreg.
  • About [MAT-62-13-K-7]: Title: "Financial Statistics"; Presence-Time: 28 h; Self-Study: 107 h

Examination achievement PL1

  • Form of examination: oral examination (20-30 Min.)
  • Examination Frequency: each semester
  • Examination number: 86220 ("Financial Statistics")

Evaluation of grades

The grade of the module examination is also the module grade.


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.

Competencies / intended learning achievements

The students know and understand advanced statistical techniques for modeling time series which represent fundamental stochastic dependencies in the economy, and for modeling and estimating risks, primarily in the financial and insurance industries. They are able to apply them and they can critically assess the possibilities and limitations of their use.

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.

References to Module / Module Number [MAT-62-13-M-7]

Course of Study Section Choice/Obligation
[MAT-88.B84-SG] M.Sc. Actuarial and Financial Mathematics Statistics and Computational Methods [WP] Compulsory Elective
Module-Pool Name
[MAT-61-MPOOL-7] Specialisation Financial Mathematics (M.Sc.)
[MAT-62-MPOOL-7] Specialisation Statistics (M.Sc.)
[MAT-AM-MPOOL-7] Applied Mathematics (Advanced Modules M.Sc.)