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# Financial Econometrics

2021/2022
Учебный год
ENG
Обучение ведется на английском языке
4
Кредиты
Статус:
Курс по выбору
Когда читается:
1-й курс, 4 модуль

### Course Syllabus

#### Abstract

The course is designed to introduce the various spectrum of quantitative financial econometrics. It discusses about some of the important contemporary statistical methods and its practical applications in the field of finance. The course starts with the basic concepts like random walk hypothesis and progresses towards the advanced topics like copula and wavelets.

#### Learning Objectives

• The students will gain substantial knowledge about the financial econometrics and will be able to apply the same in solving real life problems in finance. Successful completion of the course will make them ready for the job market.

#### Expected Learning Outcomes

• Student knows contemporary methods of econometric research and its appropriate applications.
• Student is able to critically analyze the given problem and to derive comprehensive solutions for the given problem.
• Student identifies problem and need based appropriate model selections.
• New Model development, and its applications to solve the problems in finance.

#### Course Contents

• Scope and Methodology of Econometrics
• Random Walk Hypothesis
Random Walk Models
• Geometric Brownian Motion
• Efficient Frontier
• Portfolio Optimisation
• Introduction to Asset Pricing Factor Models
CAPM Multifactor Asset Pricing Models
• Risk Analysis
Volatility risk ARCH & GARCH Models Value at Risk Models
• Introduction to Fat tails
Fat tails in financial data How to handle fat tails It’s implication on investment decision
• Introduction to Wavelets
Multi scale Wavelet decomposition Wavelet Covariance and Correlation Wavelet CoherenceWavelet Clustering

#### Assessment Elements

• In-class participations
• Individual/group project
• Final exam
Here are the instructions for your upcoming End term exam on Financial Econometrics. Medium: Via LMS Type of Exam: Open Book (Part A) and S/W Execution based (Part B) Total Marks: 55 (Part A: 35 and Part B: 20) Number of Questions: Part A: Seven Questions… Part B: Problem statement & Dataset Allowed: Both online and offline resources…You may refer all available resources Not Allowed: Late Submission; Copy and Paste (Similarly above 15 %) Exam Execution Details: Step 1: Part A: Questions will be uploaded in the LMS and Part B: Dataset will be send to your mail at the end of the day June 11, 2020 around 23:59 PM Step 2: You will have full day to answer the questions(Part A & B) on 12/06/2020 and … deadline for submission of the question answers(Part A & B) will be by the end of the same day in PDF format via LMS : 12/06/2020; 23:59:59 Hours SPB Time.

#### Interim Assessment

• Interim assessment (4 module)
0.55 * Final exam + 0.2 * In-class participations + 0.25 * Individual/group project