This learning unit is not open to incoming exchange students!
Teacher(s)
Language
French
Learning outcomes
At the end of this learning unit, the student is able to : | |
| The objective of the course is to enable students to consolidate their basic knowledge of econometrics and then to understand and to know how to apply a couple of important empirical methods in finance. Ultimately, the student must be able to carry out an empirical analysis project in finance autonomously using the Gretl software. Emphasis is placed on the ability to apply econometric tools. | |
Content
Course Map :
1. Reminder in Statistics and Econometrics,
2. Econometric methods for financial data (time series, non-linear models, VAR models, cointegration models). These models are used, for example, for systemic risk analysis or forecasting (i.e. macroeconomic forecasts).
3. Risk analysis of an asset or a portfolio with the Value-at-Risk (VaR)
1. Reminder in Statistics and Econometrics,
2. Econometric methods for financial data (time series, non-linear models, VAR models, cointegration models). These models are used, for example, for systemic risk analysis or forecasting (i.e. macroeconomic forecasts).
3. Risk analysis of an asset or a portfolio with the Value-at-Risk (VaR)
Teaching methods
Lectures and exercises in Gretl.
Evaluation methods
Written exam and computer exercises.
Bibliography
Slides et syllabus du cours.
Faculty or entity
Programmes / formations proposant cette unité d'enseignement (UE)
Title of the programme
Sigle
Credits
Prerequisites
Learning outcomes
Advanced Master in Financial Risk Management (shift schedule)
