Modeling Financial Risk with R
Informacje ogólne
Kod przedmiotu: | 136141-D |
Kod Erasmus / ISCED: |
01.0
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Nazwa przedmiotu: | Modeling Financial Risk with R |
Jednostka: | Szkoła Główna Handlowa w Warszawie |
Grupy: |
Elective courses for QME - bachelors Przedmioty kierunkowe do wyboru SLLD-MIS |
Punkty ECTS i inne: |
3.00 (zmienne w czasie)
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Język prowadzenia: | angielski |
Efekty uczenia się: |
Wiedza: Students should understand the concepts of financial risk and volatility. Students should know financial risk measures (value at risk - VaR, expected shortfall - ES) and the methods of calculating and forecasting VaR and ES. Students should know the methods of backtesting the accuracy of financial risk forecasts. Umiejętności: Students should be able to estimate basic volatility models using R. Students should be able to compute and forecast VaR and ES using R. Students should be able to backtest selected volatility models using R. Kompetencje społeczne: Students understand practical aspects of implementing risk modeling methods and their limitations. Students strengthen their teamwork competencies, presentation skills and public speaking. |
Zajęcia w cyklu "Preferencje - Semestr letni 2024/25" (jeszcze nie rozpoczęty)
Okres: | 2025-02-15 - 2025-09-30 |
Przejdź do planu
PN WT ŚR CZ PT |
Typ zajęć: |
Zajęcia prowadzącego
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Koordynatorzy: | (brak danych) | |
Prowadzący grup: | Michał Rubaszek | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Zajęcia prowadzącego - Ocena |
Zajęcia w cyklu "Semestr letni 2024/25" (jeszcze nie rozpoczęty)
Okres: | 2025-02-15 - 2025-09-30 |
Przejdź do planu
PN WT ŚR CZ PT |
Typ zajęć: |
Laboratorium, 30 godzin
|
|
Koordynatorzy: | (brak danych) | |
Prowadzący grup: | (brak danych) | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Laboratorium - Ocena |
|
Skrócony opis: |
See the semester schedule. |
|
Pełny opis: |
The course equips the students with the ability to apply the methods of financial econometrics to business practice. The concepts of financial risk management that will be studied include: properties of financial time series, volatility and its modelling, risk measures (VaR, expected shortfall) and various methods of their computation and forecasting, backtesting and stress testing. The course follows the book 'Financial Risk Forecasting' by Jon Danielsson and emphasizes the practical aspects of studied concepts and methods by focusing on implementing and testing them using the popular open-source statistical environment R. Acquired skills are assessed by a substantial class project which concludes the course. |
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Literatura: |
Literatura podstawowa: Jon Danielsson, Financial Risk Forecasting, The Theory and Practice of Forecasting Market Risk, with Implementation in R and Matlab, Wiley 2011. Literatura uzupełniająca: Carol Alexander, Market Risk Analysis, Wiley 2009 Kevin Dowd, Measuring market risk, Wiley 2005. |
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Uwagi: |
Kryteria oceniania: egzamin tradycyjny-pisemny: 33.00% referaty/eseje: 67.00% |
Zajęcia w cyklu "Semestr zimowy 2024/25" (w trakcie)
Okres: | 2024-10-01 - 2025-02-14 |
Przejdź do planu
PN WT ŚR CZ PT LAB
|
Typ zajęć: |
Laboratorium, 30 godzin
|
|
Koordynatorzy: | (brak danych) | |
Prowadzący grup: | Michał Rubaszek | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Laboratorium - Ocena |
|
Skrócony opis: |
See the semester schedule. |
|
Pełny opis: |
The course equips the students with the ability to apply the methods of financial econometrics to business practice. The concepts of financial risk management that will be studied include: properties of financial time series, volatility and its modelling, risk measures (VaR, expected shortfall) and various methods of their computation and forecasting, backtesting and stress testing. The course follows the book 'Financial Risk Forecasting' by Jon Danielsson and emphasizes the practical aspects of studied concepts and methods by focusing on implementing and testing them using the popular open-source statistical environment R. Acquired skills are assessed by a substantial class project which concludes the course. |
|
Literatura: |
Literatura podstawowa: Jon Danielsson, Financial Risk Forecasting, The Theory and Practice of Forecasting Market Risk, with Implementation in R and Matlab, Wiley 2011. Literatura uzupełniająca: Carol Alexander, Market Risk Analysis, Wiley 2009 Kevin Dowd, Measuring market risk, Wiley 2005. |
|
Uwagi: |
Kryteria oceniania: egzamin tradycyjny-pisemny: 33.00% referaty/eseje: 67.00% |
Zajęcia w cyklu "Semestr letni 2023/24" (zakończony)
Okres: | 2024-02-24 - 2024-09-30 |
Przejdź do planu
PN WT ŚR CZ PT |
Typ zajęć: |
Laboratorium, 30 godzin
|
|
Koordynatorzy: | (brak danych) | |
Prowadzący grup: | (brak danych) | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Laboratorium - Ocena |
|
Skrócony opis: |
See the semester schedule. |
|
Pełny opis: |
The course equips the students with the ability to apply the methods of financial econometrics to business practice. The concepts of financial risk management that will be studied include: properties of financial time series, volatility and its modelling, risk measures (VaR, expected shortfall) and various methods of their computation and forecasting, backtesting and stress testing. The course follows the book 'Financial Risk Forecasting' by Jon Danielsson and emphasizes the practical aspects of studied concepts and methods by focusing on implementing and testing them using the popular open-source statistical environment R. Acquired skills are assessed by a substantial class project which concludes the course. |
|
Literatura: |
Literatura podstawowa: Jon Danielsson, Financial Risk Forecasting, The Theory and Practice of Forecasting Market Risk, with Implementation in R and Matlab, Wiley 2011. Literatura uzupełniająca: Carol Alexander, Market Risk Analysis, Wiley 2009 Kevin Dowd, Measuring market risk, Wiley 2005. |
|
Uwagi: |
Kryteria oceniania: egzamin tradycyjny-pisemny: 33.00% referaty/eseje: 67.00% |
Zajęcia w cyklu "Semestr zimowy 2023/24" (zakończony)
Okres: | 2023-10-01 - 2024-02-23 |
Przejdź do planu
PN WT LAB
ŚR CZ PT |
Typ zajęć: |
Laboratorium, 30 godzin
|
|
Koordynatorzy: | (brak danych) | |
Prowadzący grup: | Michał Rubaszek, Anna Sznajderska | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Laboratorium - Ocena |
|
Skrócony opis: |
See the semester schedule. |
|
Pełny opis: |
The course equips the students with the ability to apply the methods of financial econometrics to business practice. The concepts of financial risk management that will be studied include: properties of financial time series, volatility and its modelling, risk measures (VaR, expected shortfall) and various methods of their computation and forecasting, backtesting and stress testing. The course follows the book 'Financial Risk Forecasting' by Jon Danielsson and emphasizes the practical aspects of studied concepts and methods by focusing on implementing and testing them using the popular open-source statistical environment R. Acquired skills are assessed by a substantial class project which concludes the course. |
|
Literatura: |
Literatura podstawowa: Jon Danielsson, Financial Risk Forecasting, The Theory and Practice of Forecasting Market Risk, with Implementation in R and Matlab, Wiley 2011. Literatura uzupełniająca: Carol Alexander, Market Risk Analysis, Wiley 2009 Kevin Dowd, Measuring market risk, Wiley 2005. |
|
Uwagi: |
Kryteria oceniania: egzamin tradycyjny-pisemny: 33.00% referaty/eseje: 67.00% |
Właścicielem praw autorskich jest Szkoła Główna Handlowa w Warszawie.