Course description

This course focus on the study of market risk from a quantitative point of view. It brings together four fields: finance, statistics, time series econometrics and computer programming. We employ the two principal mathematical programming languages, R and Matlab. For this course, it is assumed that the student has a basic understanding of both statistics and econometrics. However, no prior knowledge of both finance and programming is required. This course mainly focus on market risk models, that is, volatility and correlation forecast models, their implementation and evaluation.