Statistical Models in Finance with S-PLUS

Course Description

This two-day course provides to the participants with the practical tools in S-PLUS and in S-PLUS FinMetrics necessary to make statistical analysis of financial data. Examples will cover:

• Time Series Analysis of Stock Returns,
• Volatility Modelling and Forecasting,
• Modelling of Asset Returns,
• Value-at-Risk and Expected Shortfall computations based on Extreme Value Theory and Copulas,
• Backtesting Value-at-Risk Models.

Course Outline

This course is comprised of seven modules. The first day will focus on time series analysis, the second on applications in finance.

Day 1: Introduction and Time Series Analyis

• Introduction to Time Series Objects.
• Modelling Methodology.
• ARMA Process.
• GARCH Modelling.

• Factor Models for Asset Returns
  
• Modelling Extreme Values
  
• Backtesting Value-at-Risk Models
  
• Bivariate Copulas

Who Should Attend

This course is designed for people working in the banking area, having an interest in S-PLUS and in statistical analysis of financial data.

Prerequisites

S-PLUS Essentials. It is asssumed that all participants have a basic knowledge of statistical methods and of S-PLUS.

Reference

Modeling Financial Time Series with S-PLUS, Eric Zivot and Jaihui Wang.