FAM-ily  

Financial and Actuarial Mathematics
TU Wien, Austria


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

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