This module is not currently running in 2021 to 2022.
This module is designed for students on the MSc in Finance, Investment and Risk. Its objective is to introduce probabilistic and statistical basis to allow analysis of financial data and risk measures. The module is organised in three parts where, from the first to the third one, inferential concepts are developed. The first is an overall introduction to basic probability concepts, including univariate and multivariate probability distributions, summarising indexes and risk measures, such as Value at Risk and Expected Tail Loss. The first part constitutes the foundations on which the inferential topics of the second part lie upon. These consists in parameter estimation and test of hypothesis. In the third and last part we examine the fundamental statistical modelling tool of linear regression. By both considering simple and multiple linear regression model, parameter estimation, prediction and model fitting techniques are discussed.
See the library reading list for this module (Canterbury)
48 lectures
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