Duration
30h Th
Number of credits
| Doctoral training in economics and business management (Sciences de gestion) | 5 crédits |
Lecturer
Language(s) of instruction
English language
Organisation and examination
All year long
Schedule
Units courses prerequisite and corequisite
Prerequisite or corequisite units are presented within each program
Learning unit contents
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.
Learning outcomes of the learning unit
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.
Prerequisite knowledge and skills
Planned learning activities and teaching methods
The course is working-group-style with active discussions of many practical examples and quantitative case-studies.
Mode of delivery (face-to-face ; distance-learning)
The course is group-meeting style. Some topics will be handled through distance learning.
Recommended or required readings
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
Assessment methods and criteria
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.
Work placement(s)
None
Organizational remarks
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