Data-driven Financial Econometrics
Approximate dynamic programming and time series approaches in options, interest rate, and credit markets. Nonlinear least squares, nonparametric regression and model selection. Behavioral finance and efficient markets. Economic capital, risk measures, and regulatory supervision. Quantile regression, extreme value theory, and applications to market risk analytics. Empirical Bayes approach to pricing insurance contracts. Corporate bonds, bond ratings, and corporate default analytics.
- STATS240P or equivalent
- A conferred Bachelor’s degree with an undergraduate GPA of 3.3 or better.
- Substantive and empirical modeling approaches in options, interest rate, and credit markets
- Nonlinear least squares, logistic regression and generalized linear models
- Nonparametric regression and model selection
- Multivariate time series modeling and forecasting
- Vector autoregressive models and cointegration
- Risk measures, models and analytics
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