Selected tools for financial risk measurement and portfolio selection

Mini-curso - Estatística e Gestão do Risco,

Orador:  Alexandra Dias,  Senior Lecturer in Actuarial Science, The York Management School, University of York.

Dias, horas e local:

05/03/2018 (2ª feira), 16h00-18h00, Sala 1.6 Edifício VII

06/03/2018 (3ª feira), 10h30-12h30, Sala 1.5 Edifício VII 

Resumo: Financial risk management and portfolio selection both rely on good measurement of risk. In this mini-course, we will explore some statistical aspects of financial risk measurement. We will start with a short overview of risk measures and econometric tools used in risk measurement. Then we will narrow down to the topics of hierarchical copula models for risk measurement, and the use of risk measures in portfolio selection. The software used during the course will be R.

Financiado através do Programa Doutoral em Estatística e Gestão do Risco.