Durée
30h Th
Nombre de crédits
| Formation doctorale en sciences économiques et de gestion (Sciences de gestion) | 5 crédits |
Enseignant
Langue(s) de l'unité d'enseignement
Langue anglaise
Organisation et évaluation
Enseignement durant l'année complète
Unités d'enseignement prérequises et corequises
Les unités prérequises ou corequises sont présentées au sein de chaque programme
Contenus de l'unité d'enseignement
This doctoral program course focuses on empirical market risk analysis. It provides a detailed an in-depth analysis of the wide range of techniques that are commonly used to characterize risk, return patterns, and price behaviors in financial markets. This course provides a comprehensive and in-depth treatment of the theoretical concepts and modeling techniques in quantitative finance.
We will cover equity factor models, volatility and correlation, GARCH, cointegration, Markov-switching and quantile regression models.
Acquis d'apprentissage (objectifs d'apprentissage) de l'unité d'enseignement
At the end of this course students will be able to
- understand and estimate single and multi-factor models,
- decompose the risk of financial instruments,
- measure and model variance, volatility, covariance and correlation,
- estimate time-varying sensitivities,
- understand the wide series of GARCH modeling techniques,
- understand and estimate cointegration models,
- understand and estimate quantile regressions,
- understand and estimate markov-switching models,
- estimate the goodness-of-fit of their modeling,
- perform in-sample and out-of-sample tests.
Specific skills and competences trained during this course. At the end of this course students will have:
- developed their theoretical modeling skills,
- developed their econometric skills,
- strengthened their ability to research autonomously and methodically the information needed to solve a complex modeling problem
- developed their understanding and ability of using modelization methods
- developed team work abilities
- developed their critical sense (arguing)
- strengthened their capacity for creative conception of solutions
- strengthened their professional capacity for oral communication
- and strengthened their professional capacity for written communication.
Savoirs et compétences prérequis
Activités d'apprentissage prévues et méthodes d'enseignement
The course is working-group-style with active discussions of many practical examples and quantitative case-studies.
Mode d'enseignement (présentiel ; enseignement à distance)
The course is group-meeting style. Some topics will be handled through distance learning.
Lectures recommandées ou obligatoires et notes de cours
The required textbook that will be used throughout the course is:
Market Risk Analysis: Practical Financial Econometrics by Carol Alexander ISBN-10: 0470998016 | ISBN-13: 978-0470998014 | Edition: Volume II
Modalités d'évaluation et critères
The final grade will be determined by
- Emirical study (80%)
Ability to understand and be able to use single and multi-factor, correlation and volatility, GARCH, cointegration, Markov-switching and quantile regression models.
Ability to develop appropriate research designs to analyze contemporaneous empirical finance questions.
- Participation (20%)
Attending class and actively discussing material in class.
Stage(s)
None
Remarques organisationnelles
At no time is it tolerated to use materials from former academic years or other sources. No plagiarism of any kind will be tolerated.
Contacts
Aline Muller, Ph.D. | Professor of Finance
HEC - Management School of the University of Liège (Belgium)
Rue Saint Gilles 35, Bldg. N2, B-4000 Liège Belgium
tel : 0032 4 232 7435 / fax: 0032 4 232 7376 / email : aline.muller@ulg.ac.be / website: www.finance.hec.ulg.ac.be