Academic Year:
2021/2022
Curriculum:
Statistical and Quantitative Methods for Sustainability and Risk Assessment
Hours:
16
Course description:
The course will give a brief introduction to
- univariate methods for extreme value modeling (generalized Pareto distribution, Poisson point process) with and without covariates.
- copulas for dependence modelling and their main properties, along with the most important theoretical results. Applications to relevant fields will be illustrated:
- computation of Value at Risk in finance;
- risk aggregation;
- financial time series modelling with copulas.
- topics in optimization, static and dynamic, with applications to finance and insurance
Course Period:
June - July 2022
July 2023 (38th cycle)
Last updated on: 04/15/2022 - 09:31
