Obligatorische Weiterbildung für Aktuare (CPD) Empirical Methods in Finance and Risk Management (ca. 20 CPD-Punkte)(Veranstaltung in englischer Sprache) Kostenpflichtig (EUR 200), Anmeldung erforderlich (office@fam.tuwien.ac.at) Vortragende: Mario Schlener, MBA M.A., Navigant Capital Markets Advisers, UK DI Bernhard Perner, Deloitte FSI Advisory, Österreich The lectures will focus on the empirical aspects of asset pricing and on the econometrics of financial markets. We start with the fundamental issue, both for investors and researchers in finance, of return predictability. We put forward a number of stylized facts about return predictabiltity. We then study the various asset pricing models (CAPM, APT, intertemporal equilibrium models) and econometric tests of these models to establish if the empirical facts are consistent with the model implications. The empirical validation of the financial models will lead us to present briefly various methods of estimation such as the maximum likelihood approach and the generalized method of moments, corresponding tests as well as linear and nonlinear filtering methods. The last two sections, if enough time remains, will be dedicated to the econometrics of fixed-income securities and of option pricing. Fr, 20.05.2011, 13:00 - 18:00, FH Hörsaal 2 Fr, 27.05.2011, 13:00 - 18:00, FH Hörsaal 2 Fr, 10.06.2011, 13:00 - 18:00, FH Hörsaal 2 Fr, 17.06.2011, 13:00 - 18:00, FH Hörsaal 2 Fr, 24.06.2011, 13:00 - 18:00, FH Hörsaal 2 FH Hörsaal 2: Freihaus, 2. Stock, gelber Bereich Technische Universität Wien, Wiedner Hauptstraße 8-10, 1040 Wien Table of Contents: ^^^^^^^^^^^^^^^^^^ 1 RETURNS AND ECONOMETRIC METHODOLOGY 1.1 Returns Distributions 1.2 Econometric Estimation Strategy 1.2.1 Maximum Likelihood Principle 1.2.2 Maximum Likelihood with Conditional Distributions: applications to modeling return volatility and changes in regimes Empirical Methods in Finance 1.2.3 Generalized method of Moments: Estimating Stochastic Discount Factor Models 1.3 Testing Methodology 1.3.1 Introduction to testing 1.3.2 The trilogy of tests 2 THE CAPM MODEL 2.1 Review of basic theoretical concepts 2.2 Estimation and tests 2.3 Empirical results 3 MULTIFACTOR ASSET PRICING MODELS 3.1 Review of basic theoretical concepts 3.2 Estimation and tests 3.3 Empirical Results 3.4 Event Studies 4 PREDICTABILITY OF RETURNS 4.1 Predictability based on past price changes 4.2 Predictability based on other financial or economic variables 5 ESTIMATION AND ASSESSMENT OF INTERTEMPORAL EQUILIBRIUM MODELS 5.1 Different approaches: Calibration, Regressions, Maximum Likelihood, GMM 5.2 Consumption-based asset pricing models with power utility 5.3 More general utility functions: habit formation, recursive utility, state-dependent preferences 6 THE ECONOMETRICS OF FIXED-INCOME SECURITIES 6.1 Models of the term structure of bond yields 6.2 Empirical analysis of dynamic term structure models 6.3 Equilibrium term structure models 7 THE ECONOMETRICS OF OPTION PRICING 7.1 A short survey of continuous-time models 7.2 Equilibrium Option Pricing in Discrete Time |
||
(top of page) (print version) |
© by Financial and Actuarial Mathematics, TU Wien, 2002-2024 https://fam.tuwien.ac.at/events/cpd/20110520.php Last modification: 2014-02-14 Imprint / Impressum — Privacy policy / Datenschutzerklärung |