Quantitative Asset and Risk Management
- Enseignant(s):
- Titre en français: Gestion des actifs quantitative et management du risque
- Cours donné en: anglais
- Crédits ECTS:
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Horaire:
Semestre de printemps
2020-2021,
4.0h. de cours
(moyenne hebdomadaire)
WARNING : this is an old version of the syllabus, old versions contain OBSOLETE data. -
séances
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site web du cours
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ObjectifsThe aim of the course is to address asset and risk management issues using available econometric tools. We will start with the problem of the estimation error in asset management. Given the estimation error surrounding the forecasting of expected returns and the covariance matrix, the mean-variance criterion is also known as an “estimation-error maximizer.” We will study techniques proposed to deal with this issue. Then, we will move to risk management. We will define precisely the risk measures and their practical estimation for the main classes of risk. The class will offer a balance between academic knowledge and hand-on applications, in line with real life situations. ContenusWe aim at treating the following topics. However, given the available time, not all topics may be covered: Asset Management 1. General Problem of Asset Management Risk Management 7. Basic Concepts of Risk Management RéférencesBrandt M. (2010), Portfolio Choice Problems, in Y. Aït-Sahalia and L.P. Hansen (ed.), Handbook of Financial Econometrics, Vol 1: Tools and Techniques, 269-336. McNeil A.J., R. Frey, and P. Embrechts (2005), Quantitative Risk Management: Concepts, Techniques, and Tools, Princeton University Press. Advanced textbook for the second part of the course. Scherer B. (2007), Portfolio Construction and Risk Budgeting, Risk Books. Covers topics in the first part of the course. Pré-requisData Science for Finance Evaluation1ère tentative
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