INSTITUTE OF APPLIED MATHEMATICS
Last Updated:
21/07/2017 - 12:25

IAM544 - Financial Risk Assessment

Credit: 3(3-0); ECTS: 8.0
Instructor(s): Consent of IAM
Prerequisites: Consent of Instructor(s)

Course Catalogue Description

Introduction to programming in Matlab. Matlab toolboxes related to financial computations. Computations of Probability Distributions in Matlab. Distribution fit. Mixed distributions. Computation of Unconditional and conditional probabilities. Introduction to econometrics. OLS, MLE, properties of the estimators. Autocorrelation-heteroscedasticity-nonlinearity in time series. Time series modeling in Matlab. Commands for AR-MA-ARMA-ARIMA-ARCH-GARCG-Multivariate GARCH modeling. Measuring the risk of foreign exchange, equities, derivatives, bonds. Computation of Zero Coupon Bond-Duration-Convexity-Forward Rate-Yield Curve (Interpolation and function based approaches i.e. Nelson-Siegel). Computation of Portfolio Value at Risk, Covariance VaR, Delta-Normal VaR, Historical Simulation-Filtered Historical Simulation-Bootstrap, Monte Carlo Simulation of Geometric Brownian Motion, CRR, CIR, Vasicek, HJM models.

Course Objectives

To provide students with an extensive knowledge of portfolio risk assessment. Students will be asked to solve the everyday problems being faced by professionals. This course will be a project-driven course in which the daily events of the financial markets will be modeled, simulated and programmed in matlab environment.

Course Learning Outcomes

Tentative (Weekly) Outline

Introduction to programming in Matlab. Matlab toolboxes related to financial computations. Computations of Probability Distributions in Matlab. Distribution fit. Mixed distributions. Computation of Unconditional and conditional probabilities. Introduction to econometrics. OLS, MLE, properties of the estimators. Autocorrelation-heteroscedasticity-nonlinearity in time series. Time series modeling in Matlab. Commands for AR-MA-ARMA-ARIMA-ARCH-GARCG-Multivariate GARCH modeling. Measuring the risk of foreign exchange, equities, derivatives, bonds. Computation of Zero Coupon Bond-Duration-Convexity-Forward Rate-Yield Curve (Interpolation and function based approaches i.e. Nelson-Siegel). Computation of Portfolio Value at Risk, Covariance VaR, Delta-Normal VaR, Historical Simulation-Filtered Historical Simulation-Bootstrap, Monte Carlo Simulation of Geometric Brownian Motion, CRR, CIR, Vasicek, HJM models.

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